The Pure and Applied Mathematics (한국수학교육학회지시리즈B:순수및응용수학)

Korean Society of Mathematical Education (한국수학교육학회)
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ANALYZING CONTENTS OF MARKET SENTIMENT BASED ON INVESTERS' EMOTION

  • Lee, Sanggi (Department of Economics, Hankuk University of Foreign Studies) ;
  • Song, Joonhyuk (Department of Economics, Hankuk University of Foreign Studies)
  • Received : 2017.09.23
  • Accepted : 2017.10.08
  • Published : 2017.11.30
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Abstract

The study investigates the stock market using emotion index calculated from SMD based on investors' emotion. In the VAR anlaysis, we find that the correlation between the KOSPI200 return and emotion score sum is highest in 2- or 3- day lag. This study concludes that explanatory power of the SMD emotion index is limited in explaining the Korean stock market yet.

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References

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