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Article

Investor Sentiment and Herding Behavior in the Korean Stock Market

1
Institute of Economics and International Trade, Pusan National University, Busan 46241, Korea
2
Department of Economics, Pusan National University, Busan 46241, Korea
*
Author to whom correspondence should be addressed.
Int. J. Financial Stud. 2020, 8(2), 34; https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs8020034
Received: 5 April 2020 / Revised: 22 May 2020 / Accepted: 26 May 2020 / Published: 1 June 2020
(This article belongs to the Special Issue Advances in Behavioural Finance and Economics)
This paper investigates herding behavior and the connection between herding behavior and investor sentiment. We apply a Cross-Sectional Absolute Deviation (CSAD) approach and the quantile regression method to capture herding behavior in the KOSPI and KOSDAQ stock markets. The analysis results are outlined as follows. First, we find that herding behavior is exhibited during down-market periods in the KOSPI and KOSDAQ stock markets. However, we show that adverse herding behavior occurs in low-trading volume and low-volatility periods. Second, according to the results of the quantile regression, herding behavior is found in the low and high quantiles of the KOSPI and KOSDAQ stock markets. However, adverse herding behavior is also found, which means that investors herd in extreme market conditions. Third, the relationship between investor sentiment and herding behavior is analyzed through regression and quantile regression, and investor sentiment is confirmed to be one of the important factors that can cause herding behavior in the Korean stock market. View Full-Text
Keywords: herding behavior; investor sentiment; CSAD; quantile regression; Korean stock market herding behavior; investor sentiment; CSAD; quantile regression; Korean stock market
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MDPI and ACS Style

Choi, K.-H.; Yoon, S.-M. Investor Sentiment and Herding Behavior in the Korean Stock Market. Int. J. Financial Stud. 2020, 8, 34. https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs8020034

AMA Style

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://0-doi-org.brum.beds.ac.uk/10.3390/ijfs8020034

Chicago/Turabian Style

Choi, 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://0-doi-org.brum.beds.ac.uk/10.3390/ijfs8020034

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