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      소비자 심리지수가 KOSPI 수익률에 미치는 비대칭적 영향에 대한 연구 = An Empirical Study between Consumer Sentiment Index and KOSPI`s Return: Negativity Effect

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      https://www.riss.kr/link?id=A60070172

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      다국어 초록 (Multilingual Abstract)

      This paper shows the analysis of negativity effects raised on korean composite stock index(KOSPI) when the Consumer Sentiment Index announced officially by the Bank of Korea, reflecting investor`s psychological convenience. The official information announcement effect verified through the analysis of KOSPI`s rate of return. The outcome of this research shows that KOSPI dropped greatly because of negative official announcement of Consumer Sentiment Index(CSI). In addition, the fact that official notices are reflected on stock index before it announced officially. I concluded that consumer sentiment index in Korean stock market is forecasted in advance through other sources of information and the substances are reflected on stock index. I also found that if the Consumer Sentiment Index announced with positive information, then investors respond passively. On the contrary, if the Consumer Sentiment Index announced with negative information, then investors respond on the other way. Also I found that investors recovered rapidly through negative informations in Korean stock market.
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      This paper shows the analysis of negativity effects raised on korean composite stock index(KOSPI) when the Consumer Sentiment Index announced officially by the Bank of Korea, reflecting investor`s psychological convenience. The official information an...

      This paper shows the analysis of negativity effects raised on korean composite stock index(KOSPI) when the Consumer Sentiment Index announced officially by the Bank of Korea, reflecting investor`s psychological convenience. The official information announcement effect verified through the analysis of KOSPI`s rate of return. The outcome of this research shows that KOSPI dropped greatly because of negative official announcement of Consumer Sentiment Index(CSI). In addition, the fact that official notices are reflected on stock index before it announced officially. I concluded that consumer sentiment index in Korean stock market is forecasted in advance through other sources of information and the substances are reflected on stock index. I also found that if the Consumer Sentiment Index announced with positive information, then investors respond passively. On the contrary, if the Consumer Sentiment Index announced with negative information, then investors respond on the other way. Also I found that investors recovered rapidly through negative informations in Korean stock market.

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      참고문헌 (Reference)

      1 장영광, "한국증권시장의 미시구조와 주가변동성의 원천에 관한 연구" 20 : 233-271, 1997

      2 이장우, "외부충격 및 외생변수를 고려한 주요국 주가변동성의 비대칭적 반응에 관한 연구" 한국금융공학회 9 (9): 31-56, 2010

      3 지청, "거래제도와 주가변동성: 한국증권시장에 대한 실증연구" (창간) : 277-303, 1995

      4 Brown, S., "Using Daily Stock Returns: The Case of Event Studies" 14 : 3-31, 1985

      5 Morck, R., "The Stock Market and Investment: Is the Market a Sideshow?" 1990 (1990): 157-202, 1990

      6 Jansen, W., "The Stock Market and Consumer Confidence" 79 (79): 89-98, 2003

      7 Akhtar, S., "The Power of Bad: The Negativity Bias in Australian Consumer Sentiment Announcements on Stock Return" 35 (35): 1239-1249, 2011

      8 Victor, N., "The Analysis of World Events and Stock Price" 44 (44): 193-219, 1971

      9 Fama, E. F., "The Adjustment of Stock Price of new Information" 10 : 1-21, 1969

      10 Warneryd, K. E., "Stock-Market Psychology: How People Value and Trade Stocks" Edward Elgar Publishing, Inc. 2001

      1 장영광, "한국증권시장의 미시구조와 주가변동성의 원천에 관한 연구" 20 : 233-271, 1997

      2 이장우, "외부충격 및 외생변수를 고려한 주요국 주가변동성의 비대칭적 반응에 관한 연구" 한국금융공학회 9 (9): 31-56, 2010

      3 지청, "거래제도와 주가변동성: 한국증권시장에 대한 실증연구" (창간) : 277-303, 1995

      4 Brown, S., "Using Daily Stock Returns: The Case of Event Studies" 14 : 3-31, 1985

      5 Morck, R., "The Stock Market and Investment: Is the Market a Sideshow?" 1990 (1990): 157-202, 1990

      6 Jansen, W., "The Stock Market and Consumer Confidence" 79 (79): 89-98, 2003

      7 Akhtar, S., "The Power of Bad: The Negativity Bias in Australian Consumer Sentiment Announcements on Stock Return" 35 (35): 1239-1249, 2011

      8 Victor, N., "The Analysis of World Events and Stock Price" 44 (44): 193-219, 1971

      9 Fama, E. F., "The Adjustment of Stock Price of new Information" 10 : 1-21, 1969

      10 Warneryd, K. E., "Stock-Market Psychology: How People Value and Trade Stocks" Edward Elgar Publishing, Inc. 2001

      11 Poterba, J., "Stock Ownership Patterns, Stock Market Fluctuations and Consumption" 1995 (1995): 295-357, 1995

      12 Berry, T. D., "Public Information Arrival" 49 : 1331-1346, 1994

      13 Kahneman, D., "Prospect Theory: An Analysis of Decision Under Risk" 47 : 263-291, 1979

      14 Peeters, G., "Positive-Negative Asymmetry in Evaluations: The Distinction Between Affective and Informational Negativity Effects" 1 : 33-66, 1990

      15 Grossman, S., "On The Impossibility of Informationally Efficient Markets" 70 : 393-408, 1980

      16 Kanouse, D., E., "Negativity In Evaluations, In Attribution: Perceiving The Causes Of Behavior" General Learning Press 1972

      17 Baker, M., "Investor Sentiment and The Cross Section of Stock Returns" 61 : 1645-1680, 2006

      18 Qui, L., "Investor Sentiment Measures, Working Paper"

      19 Scharfstein, D., "Herd Behaviour and Investment" 80 (80): 465-479, 1990

      20 Carroll, C., "Does Consumer Sentiment Forecast Household Spending? If So, Why?" 84 : 1397-1408, 1994

      21 Bram, J., "Does Consumer Confidence Forecast Household Expenditure? A Sentiment Index Horse Race" 59-78, 1998

      22 Peter, A., "Do Stock Market Return Affect Consumer Sentiment? An Irish Study" 14 (14): 1-13, 2007

      23 Altman, E., "Corporate Financial Distress: A Complete Guide to Predicting, Avoiding and Dealing with Bankruptcy" John Wiley & Sons 1983

      24 Kyle, A., "Continuous Auctions and Insider Trading" 53 : 1315-1336, 1985

      25 Otoo, M. W., "Consumer Sentiment and the Stock Market" Federal Reserve Board 1999

      26 Throop, A., "Consumer Sentiment : Its Causes and Effect" 1 : 35-59, 1992

      27 Lemmens, A., "Consumer Confidence in Europe: United in Diversity?" 24 (24): 113-127, 2007

      28 Fiske, S. T., "Attention and Weight in Person Perception: The Impact of Negative and Extreme Behavior" 38 : 889-906, 1980

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2026 평가예정 재인증평가 신청대상 (재인증)
      2020-01-01 평가 등재학술지 유지 (재인증) KCI등재
      2017-01-01 평가 등재학술지 유지 (계속평가) KCI등재
      2014-03-25 학술지명변경 외국어명 : Korean Association of Financial Engineering -> Korean Journal of Financial Engineering KCI등재
      2014-03-17 학회명변경 영문명 : The Korean Journal Of Financial Engineering -> Korean Association of Financial Engineering KCI등재
      2014-03-14 학술지명변경 외국어명 : The Korean Journal of Financial Engineering -> Korean Association of Financial Engineering KCI등재
      2013-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2010-01-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      2009-01-01 평가 등재후보 1차 PASS (등재후보1차) KCI등재후보
      2008-01-01 평가 등재후보 1차 FAIL (등재후보1차) KCI등재후보
      2006-01-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.38 0.38 0.55
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.61 0.66 1.029 0
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