한국전자거래학회지 (The Journal of Society for e-Business Studies)

  • 제25권4호
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  • Pages.125-141
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  • 2020
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  • 2288-3908(pISSN)
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  • 2765-3846(eISSN)
한국전자거래학회 (Society for e-Business Studies)
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한국 포털 사이트 검색강도가 주가 동조성 및 위험에 미치는 영향

The Effect of Portal Search Intensity on Stock Price Synchronicity and Risk: Evidence from Korea

  • Kim, Min-Su (Department of Economics and Finance, Soonchunhyang University) ;
  • Xu, Mengxia (Department of Economics, Finance, and Insurance, Graduate School, Soonchunhyang University) ;
  • Kwon, Hyuk-Jun (Department of Economics, Finance, and Insurance, Graduate School, Soonchunhyang University)
  • 투고 : 2020.10.12
  • 심사 : 2020.11.23
  • 발행 : 2020.11.30
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초록

최근의 연구들에서는 투자자들의 관심이나 감정이 주식 거래행태와 주가 변동에 미치는 영향에 대한 분석들이 증가하고 있다. 본 연구에서는 투자자들의 관심과 감정을 측정하기 위해 한국의 네이버 검색지수를 이용하여, 포털 검색량과 검색의 변동성이 주가동조성 및 총위험, 체계적 위험에 미치는 영향을 분석하였다. 먼저 평균적인 검색량이 증가할수록 주가동조성은 증가하는 반면, 검색의 변동성은 주가동조성을 감소시키는 것을 관찰하였다. 다음으로 평균 검색량과 검색의 변동성은 모두 주식의 총위험과 체계적 위험을 증가시키는 것으로 나타났다. 이러한 결과는 주가를 변동시키는 사건이 발생할 경우에만 개인투자자들의 검색이 증가하기 때문인 것으로 해석된다. 이러한 결과는 포트폴리오 분석, 고정효과 회귀분석 및 동적 패널 모형에서 일관되게 관찰된다.

Recent Studies emphasize the effect of investors attention, recognition and sentiment on the trading behavior of retail investors and stock price variation. In this study, we use Naver Trend to measure investors'attention and investigate the relation between investor attention and price synchronicity, total risk and systematic risk of stocks. Using various research methodologies such as portfolio analysis, fixed effect regression and dynamic panel analysis, we find consistent results. First, stock price synchronicity is increased with lager average search volume, but with less search variability. Second, both average search volume and its variability are positively related to total risk and beta of stocks. These results can be interpreted that search volume sharply increases only when stock-related event occurs.

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