온라인 주식게시판 정보를 활용한 주가분석

Abstract

In this paper, we analyse whether investor sentiment measured, bullishness and disagreement, from text data on social media has information power and predictive power on stock returns, and examine how the impact of sentiment differs according to the trading volume of individual investors. Through empirical studies, we realized that the statistically significant positive relationship between the stock return and bullishness, and volatility and disagreement. In addition, as a result of portfolio analysis constructed by according to bullishness score, all of portfolio have higher sharpe ratio than the market portfolio. These results have been more influential on companies with high trading volumes of individual investors. Our findings suggest that individual investors, who are under information asymmetry, use social media to obtain information, and the individual investors, known as irrational investors, will have information by sharing their opinion, which is influential as a market participant.