Asia-Pacific Journal of Business (아태비즈니스연구)

KNU The Institute of Management & Economy Research (강원대학교 경영경제연구소)
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An Empirical Study on the Validity of the Availability Huristics and Anchoring Huristics in the Korean Stock Market

한국주식시장에서 가용성 어림짐작과 닻내림 어림짐작의 유효성에 관한 실증연구

  • Sam-Ho Son (Department of Economics and Finance, Soonchunhyang University) ;
  • Jeong-Hwan Lee (Department of Economics and Finance, Hanyang University (Seoul)) ;
  • Se-Jun Lee (Department of Economics and Finance, Hanyang University (Seoul))
  • 손삼호 (순천향대학교 경제금융학과) ;
  • 이정환 (한양대학교 경제금융대학) ;
  • 이세준 (한양대학교 경제금융대학)
  • Received : 2023.02.28
  • Accepted : 2023.03.25
  • Published : 2023.03.31
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Abstract

Purpose - The purpose of this paper is to compare and review behavioral economics models that explain stock price changes after large-scale price shocks in the Korean stock market and to find a suitable model. In this paper, among the theories reviewed, it was confirmed that the anchoring heuristics theory has high explanatory power for stock prices after large-scale stock price fluctuations. Design/methodology/approach - This paper conducts an event study on stock price shocks in which the individual stocks that make up the KOSPI200 index show more than 10% fluctuation on a daily basis. In order to materialize the abstract predictions of heuristics theories in a varifiable form, this paper uses the daily stock price index change as a reference point for availability heuristics, and uses the 52-week highest and lowest price as reference point for anchoring heuristics. Research implications or Originality - As a result of the empirical analysis, the stock price reversals did not consistently appear for changes in the daily index. On the other hand, the stock price drifts consistently appeared around the 52-week highest and the 52-week lowest price. And in the multiple regression analysis that controlled for company-specific and event-specific variables, the results that supported the anchoring heuristics were more evident. These results suggest that it is possible to establish an investment strategy using large-scale price change in Korean stock market.

Keywords

Acknowledgement

이 논문은 한양대학교 교내연구지원사업으로 연구되었음(HY-202100000003510)

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