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http://dx.doi.org/10.7468/jksmeb.2017.24.4.227

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)
Publication Information
The Pure and Applied Mathematics / v.24, no.4, 2017 , pp. 227-241 More about this Journal
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.
Keywords
social media data; emotion analysis; KOSPI200;
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Times Cited By KSCI : 2  (Citation Analysis)
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