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This paper investigates whether commonality in investors’ irrationality exists in two different markets. Using a proxy for investors’ irrationality in the U.S. and the Korean market, we show that the commonality exists in both markets. To test the existence of the commonality, we apply three different methods used in the literature about the commonality of liquidity. The results provide the exact link between investors’ irrationality and its effect on stock returns shown in the behavioral finance literature.
목차
Abstract
1. Introduction
2. Data
2.1. Institutional churn rate
2.2. Individual composition of trading volume
2.3. Correlations
3. Empirical results for commonality in investors’ irrationality
3.1. Market model regression
3.2. Principal component analysis
3.3. Time-series regression for two exclusive groups
3.4. Further study: Commonality in the up and down markets
4. Interpretation of the results
5. Conclusion
Table
References
1. Introduction
2. Data
2.1. Institutional churn rate
2.2. Individual composition of trading volume
2.3. Correlations
3. Empirical results for commonality in investors’ irrationality
3.1. Market model regression
3.2. Principal component analysis
3.3. Time-series regression for two exclusive groups
3.4. Further study: Commonality in the up and down markets
4. Interpretation of the results
5. Conclusion
Table
References
저자정보
참고문헌
자료제공 : 네이버학술정보