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http://dx.doi.org/10.7838/jsebs.2017.22.2.153

The Effect of Portal Search Intensity on Stock Price Crash  

Kim, Min-Su (Department of Economics and Finance, Soonchunhyang University)
Kwon, Hyuk-Jun (Department of IT Finance Management, Soonchunhyang University)
Publication Information
The Journal of Society for e-Business Studies / v.22, no.2, 2017 , pp. 153-168 More about this Journal
Abstract
Recent studies focus on the role of investor attention and transparency in stock-related information in explaining stock return and trading volume. Moreover, recent literatures predict that firm opacity will increase the likelihood of future stock price crashes. In this paper, we investigate, using Naver Trend, the relation between portal search intensity and stock price crash. Using various alternative measures of stock price crash risk and search intensity, we demonstrate that stocks with larger volume of portal search are less likely to experience stock price crashes. These results are consistent with our hypothesis that accumulated firm opacity cause future stock price crash. Finally, our results still hold even after we control for the potential effect of endogeneity in the regression specifications.
Keywords
Portal Search Intensity; Search Volume Index; Stock Price Crash Risk; Negative Skewness; Investor Attention;
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Times Cited By KSCI : 2  (Citation Analysis)
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