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

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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