투자자 심리의 척도로서의 시장유동성이 주식수익률에 미치는 영향 = The Linkages Between Stock Returns and Market Liquidity As a Measure of Investor Sentiment

다국어 초록 (Multilingual Abstract)

This paper investigates the effect of investor sentiment on the future stock returns. The daily returns of 3 Size Indexes and 18 Industry Indexes which are offered officially by KRX are used to test the hypothesis that investor sentiment has negative effect on the stock returns. The time series data of 1774 observations for 21 indexes during the period from May 2002 to June 2009 are used as sample data to test the hypothesis. As a proxy of the investor sentiment, the turnover rate is used, which is measured as the ratio of the trading volume on the market value of the index. We find that the stock returns have negative linkage with the turnover, and the linkage is clearer when the horizon is longer. Moreover the linkage is clearer when the test model is controlled by the beta coefficient which is a indicator of the systematic risk, firm characteristic variables such as the firm size and the B/M ratio. But the effects of investor sentiment on the market price of the beta coefficient are not clear. We also estimated GARCH(1,1)-M model to evaluate the effect of investor sentiment on the expected return and the conditional volatility simultaneously. We find that the investor sentiment effects on the expected return of stock as well as conditional volatility. This finding suggests that any efforts to test the effect of investor sentiment on expected return under the condition of constant risk measures will mislead to ambiguous results.

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