Investor Sentiment and Herding Behavior in the Korean Stock Market
Abstract
:1. Introduction
2. Literature Review
3. Data and Methodology
3.1. Data
3.2. Methodology
3.2.1. Herding Behavior
3.2.2. Quantile Regression of Herding Behavior
3.2.3. Herding Behavior and Investor Sentiment
4. Empirical Results
4.1. Empirical Results Regarding Herding Behaviour
4.2. Empirical Results of Herding Behaviour and Investor Sentiment
5. Conclusions
Author Contributions
Funding
Conflicts of Interest
References
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Panel A: Descriptive Statistics | ||||||||
Mean | Max | Min | Std. D. | Ske. | Kur. | J-B | N | |
KOSPI | 1.8688 | 6.4392 | 1.0418 | 0.4817 | 2.0591 | 11.7608 | 15454.6 *** | 3958 |
KOSDAQ | 2.3479 | 6.3245 | 1.1678 | 0.5364 | 1.3677 | 6.8118 | 3630.1 *** | 3958 |
Sent | −0.0002 | 0.4344 | −0.3027 | 0.0536 | 1.1027 | 9.7720 | 8239.4 *** | 3958 |
Panel B: Unit Root Test | ||||||||
ADF (1) | ADF (2) | PP (1) | PP (2) | |||||
KOSPI | −7.3493 *** | −9.6390 *** | −43.8588 *** | −47.0165 *** | ||||
KOSDAQ | −7.0294 *** | −8.9427 *** | −38.7360 *** | −45.5168 *** | ||||
Sent | −30.4317 *** | −30.4316 *** | −71.8796 *** | −71.9138 *** |
KOSPI | KOSDAQ | |
---|---|---|
1.5864 (0.0090) *** | 2.0744 (0.0112) *** | |
0.3960 (0.0126) *** | 0.3155 (0.0134) *** | |
−0.0028 (0.0021) | −0.0017 (0.0020) | |
0.4404 | 0.3357 |
KOSPI | KOSDAQ | |
---|---|---|
0.1598 (0.0091) *** | 2.0811 (0.0113) *** | |
0.4160 (0.0142) *** | 0.3585 (0.0150) *** | |
0.3702 (0.0164) *** | 0.2665 (0.0184) *** | |
−0.0053 (0.0024) ** | −0.0065 (0.0022) *** | |
−0.0009 (0.0039) | 0.0001 (0.0044) | |
0.4417 | 0.3424 |
KOSPI | KOSDAQ | |
---|---|---|
1.5962 (0.0092) *** | 2.0756 (0.0111) *** | |
0.3060 (0.0186) *** | 0.2451 (0.0157) *** | |
0.4497 (0.0143) *** | 0.3884 (0.0159) *** | |
0.0147 (0.0054) *** | 0.0080 (0.0026) *** | |
−0.0100 (0.0023) *** | −0.0124 (0.0026) *** | |
0.4501 | 0.3478 |
KOSPI | KOSDAQ | |
---|---|---|
1.5741 (0.0097) *** | 2.0647 (0.0139) *** | |
0.4343 (0.0210) *** | 0.3185 (0.0356) *** | |
0.3544 (0.0128) *** | 0.2837 (0.0141) *** | |
0.0327 (0.0065) *** | 0.0494 (0.0166) *** | |
0.0003 (0.0022) | 0.0022 (0.0021) | |
0.4633 | 0.3461 |
Panel A: Returns up and down | ||||||
Quantile () | 1.2322 *** (0.0131) | 0.3494 *** (0.0205) | 0.3000 *** (0.0268) | −0.0028* (0.0016) | −0.0039 (0.0024) | 0.1465 |
Quantile () | 1.4071 *** (0.0198) | 0.3668 *** (0.0198) | 0.3344 *** (0.0268) | 0.0009 (0.0037) | −0.0001 (0.0090) | 0.1735 |
Quantile () | 1.5587 *** (0.0144) | 0.3776 *** (0.0256) | 0.3337 *** (0.0483) | 0.0013 (0.0049) | 0.0120 (0.0207) | 0.1987 |
Quantile () | 1.7406 *** (0.0255) | 0.4158 *** (0.0335) | 0.2937 ** (0.1225) | −0.0049 (0.0048) | 0.0273 (0.0699) | 0.2300 |
Quantile () | 2.0347 *** (0.0239) | 0.4827 *** (0.0411) | 0.2035 *** (0.0787) | −0.0105* (0.0061) | 0.1110 *** (0.0337) | 0.2999 |
Panel B: Trading volume high and low | ||||||
Quantile () | 1.2400 *** (0.0116) | 0.2575 *** (0.0218) | 0.3456 *** (0.0187) | 0.0246 *** (0.0030) | −0.0084 *** (0.0018) | 0.1485 |
Quantile () | 1.4115 *** (0.0095) | 0.2821 *** (0.0167) | 0.3896 *** (0.0201) | 0.0183 *** (0.0027) | −0.0051* (0.0029) | 0.1775 |
Quantile () | 1.5637 *** (0.0116) | 0.2835 *** (0.0272) | 0.4148 *** (0.0242) | 0.0232 ** (0.0094) | −0.0059 (0.0048) | 0.2036 |
Quantile () | 1.7345 *** (0.0135) | 0.2841 *** (0.0325) | 0.4618 *** (0.0270) | 0.0218* (0.0124) | −0.0106 ** (0.0053) | 0.2348 |
Quantile () | 2.0150 *** (0.0185) | 0.3031 *** (0.0434) | 0.5523 *** (0.0408) | 0.0275 ** (0.0128) | −0.0192 *** (0.0063) | 0.3006 |
Panel C: Volatility high and low | ||||||
Quantile () | 1.2254 *** (0.0127) | 0.3388 *** (0.0257) | 0.3111 *** (0.0191) | 0.0230 *** (0.0038) | 0.0004 (0.0015) | 0.1496 |
Quantile () | 1.3990 *** (0.0151) | 0.3660 *** (0.0313) | 0.3146 *** (0.0541) | 0.0479 *** (0.0044) | 0.0059 (0.0203) | 0.1839 |
Quantile () | 1.5342 *** (0.0110) | 0.4317 *** (0.0230) | 0.3237 *** (0.0176) | 0.0360 *** (0.0038) | 0.0093 *** (0.0034) | 0.2150 |
Quantile () | 1.7190 *** (0.0196) | 0.3919 *** (0.0550) | 0.3062 *** (0.0582) | 0.0683 *** (0.0234) | 0.0135 (0.0194) | 0.2465 |
Quantile () | 2.0095 *** (0.0392) | 0.4319 * (0.2284) | 0.3173 *** (0.0638) | 0.0641 (0.1510) | 0.0154 (0.0145) | 0.3090 |
Panel A: Returns up and down | ||||||
Quantile () | 1.5987 *** (0.0149) | 0.3178 *** (0.0198) | 0.2234 *** (0.0232) | −0.0040 ** (0.0020) | −0.0032 (0.0020) | 0.1142 |
Quantile () | 1.8756 *** (0.0413) | 0.3137 *** (0.0171) | 0.1662 *** (0.0267) | −0.0027* (0.0016) | 0.0203 *** (0.0064) | 0.1273 |
Quantile () | 2.0527 *** (0.0136) | 0.3629 *** (0.0217) | 0.2323 *** (0.0287) | −0.0086 *** (0.0020) | 0.0076 *** (0.0078) | 0.1542 |
Quantile () | 2.2577 *** (0.0284) | 0.3829 *** (0.0336) | 0.2401 ** (0.1200) | −0.0079 (0.0052) | 0.0131 (0.0624) | 0.1828 |
Quantile () | 2.6006 *** (0.0318) | 0.4184 *** (0.0349) | 0.2664 ** (0.1200) | −0.0137 *** (0.0047) | 0.0317 (0.0541) | 0.2475 |
Panel B: Volume high and low | ||||||
Quantile () | 1.5890 *** (0.0197) | 0.2224 *** (0.0247) | 0.3319 *** (0.0574) | 0.0073 *** (0.0020) | −0.0114 (0.0207) | 0.1126 |
Quantile () | 1.8657 *** (0.0133) | 0.2078 *** (0.0196) | 0.3085 *** (0.0183) | 0.0105 *** (0.0027) | −0.0021 (0.0027) | 0.1229 |
Quantile () | 2.0434 *** (0.0210) | 0.2535 *** (0.0711) | 0.3612 *** (0.0303) | 0.0060 (0.0249) | −0.0091 ** (0.0037) | 0.1516 |
Quantile () | 2.2470 *** (0.0193) | 0.2554 *** (0.0514) | 0.4032 *** (0.0281) | 0.0089 (0.0184) | −0.0102 ** (0.0041) | 0.1858 |
Quantile () | 2.5931 *** (0.0221) | 0.2330 *** (0.0578) | 0.4910 *** (0.0317) | 0.0190 (0.0173) | −0.0245 *** (0.0047) | 0.2584 |
Panel C: Market volatility high and low | ||||||
Quantile () | 1.5887 *** (0.0192) | 0.2481 *** (0.0520) | 0.2330 *** (0.0202) | 0.0366 (0.0247) | 0.0060 *** (0.0016) | 0.1090 |
Quantile () | 1.8575 *** (0.0200) | 0.2695 *** (0.0621) | 0.2502 *** (0.0230) | 0.0256 (0.0344) | 0.0054 (0.0039) | 0.1201 |
Quantile () | 2.0383 *** (0.0169) | 0.2931 *** (0.0468) | 0.2758 *** (0.0296) | 0.0402 (0.0254) | 0.0031 (0.0073) | 0.1503 |
Quantile () | 2.2214 *** (0.0218) | 0.3734 *** (0.0748) | 0.3069 *** (0.0240) | 0.0418 (0.0459) | 0.0022 (0.0035) | 0.1844 |
Quantile () | 2.5680 *** (0.0294) | 0.3862 *** (0.0717) | 0.2956 *** (0.0866) | 0.1060 *** (0.0179) | 0.0119 (0.0248) | 0.2571 |
KOSPI | KOSDAQ | |
---|---|---|
1.5866 (0.0193) *** | 2.0766 (0.0212) *** | |
0.3958 (0.0308) *** | 0.3147 (0.0226) *** | |
−0.0029 (0.0045) | −0.0025 (0.0029) | |
0.0255 (0.1246) | 0.4568 (0.1333) *** | |
0.4404 | 0.3377 |
Panel A: KOSPI | |||||
Quantile () | 1.2338 *** (0.0119) | 0.3221 *** (0.0183) | -0.0007 (0.0014) | 0.2520 ** (0.1170) | 0.1443 |
Quantile () | 1.4063 *** (0.0102) | 0.3479 *** (0.0179) | 0.0023 (0.0040) | 0.1534 (0.1329) | 0.1729 |
Quantile () | 1.5557 *** (0.0107) | 0.3596 *** (0.0187) | 0.0039 (0.0041) | -0.0393 (0.1638) | 0.1982 |
Quantile () | 1.7286 *** (0.0225) | 0.3740 *** (0.0624) | 0.0040 (0.0236) | 0.3318* (0.1846) | 0.2279 |
Quantile () | 2.0105 *** (0.0296) | 0.4302 *** (0.0900) | 0.0025 (0.0327) | -0.3558 (0.3888) | 0.2910 |
Panel B: KOSDAQ | |||||
Quantile () | 1.5906 *** (0.0141) | 0.2633 *** (0.0177) | 0.0029* (0.0015) | 0.5309 *** (0.1443) | 0.1081 |
Quantile () | 1.8640 *** (0.0129) | 0.2612 *** (0.0148) | 0.0011 (0.0014) | 0.7259 *** (0.1376) | 0.1221 |
Quantile () | 2.0463 *** (0.0116) | 0.3036 *** (0.0136) | -0.0035 ** (0.0016) | 0.4598 *** (0.1684) | 0.1488 |
Quantile () | 2.2449 *** (0.0165) | 0.3362 *** (0.0259) | -0.0021 (0.0051) | 0.5547 ** (0.2641) | 0.1794 |
Quantile () | 2.5863 *** (0.0295) | 0.3736 *** (0.0655) | -0.0051 (0.0181) | 0.3007 (0.2607) | 0.2453 |
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Choi, K.-H.; Yoon, S.-M. Investor Sentiment and Herding Behavior in the Korean Stock Market. Int. J. Financial Stud. 2020, 8, 34. https://doi.org/10.3390/ijfs8020034
Choi K-H, Yoon S-M. Investor Sentiment and Herding Behavior in the Korean Stock Market. International Journal of Financial Studies. 2020; 8(2):34. https://doi.org/10.3390/ijfs8020034
Chicago/Turabian StyleChoi, Ki-Hong, and Seong-Min Yoon. 2020. "Investor Sentiment and Herding Behavior in the Korean Stock Market" International Journal of Financial Studies 8, no. 2: 34. https://doi.org/10.3390/ijfs8020034