Advanced SearchSearch Tips
Investment Strategies for KOSPI Index Using Big Data Trends of Financial Market
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
  • Journal title : Korean Management Science Review
  • Volume 32, Issue 3,  2015, pp.91-103
  • Publisher : The Korean Operations and Management Science Society
  • DOI : 10.7737/KMSR.2015.32.3.091
 Title & Authors
Investment Strategies for KOSPI Index Using Big Data Trends of Financial Market
Shin, Hyun Joon; Ra, Hyunwoo;
  PDF(new window)
This study recognizes that there is a correlation between the movement of the financial market and the sentimental changes of the public participating directly or indirectly in the market, and applies the relationship to investment strategies for stock market. The concerns that market participants have about the economy can be transformed to the search terms that internet users query on search engines, and search volume of a specific term over time can be understood as the economic trend of big data. Under the hypothesis that the time when the economic concerns start increasing precedes the decline in the stock market price and vice versa, this study proposes three investment strategies using casuality between price of domestic stock market and search volume from Naver trends, and verifies the hypothesis. The computational results illustrate the potential that combining extensive behavioral data sets offers for a better understanding of collective human behavior in domestic stock market.
Big Data;Trends;Sentiment;Search Terms;Query Volume;Investment Strategies;Portfolio;
 Cited by
강장구, 권경윤, 심명화, "개인투자자의 투자심리와 주식수익률", "재무관리연구", 제30권, 제3호(2013), pp.35-68.

김민수, 구평회, "인터넷 검색추세를 활용한 빅데이터 기반의 주식투자전략에 대한 연구", "한국경영과학회지", 제38권, 제4호(2013), pp.53-63.

김성우, 김각규, 윤봉규, "국방분야 빅데이터 분석의 활용가능성에 대한 고찰", "한국경영과학회지", 제39권, 제2호(2014), pp.1-19.

김용순, 권치흥, 이경애, 이현림, "2008년 금융위기 이후 부동산가격 결정요인 변화 분석", "LHI Journal", 제2권, 제4호(2011), pp.367-377.

김유신, 김남규, 정승렬, "뉴스와 주가 : 빅데이터 감성분석을 통한 지능형 투자의사결정 모형", "지능정보연구", 제18권, 제2호(2012), pp.143-156.

박원준, "'빅데이터(Big Data)' 활용에 대한 기대와 우려", "Journal of Communications and Radio Spectrum", 제51권(2012), pp.28-47.

석준희, 강영선, "다사건 시계열 자료 분석을 위한 베이지안 기반의 통계적 접근의 응용", "한국경영과학회지", 제39권, 제4호(2014), pp.51-69.

송유철, 원용걸, "동아시아 국가들의 실질환율, 순수출 및 경제성장간의 상호관계 비교연구 : 시계열 및 패널 자료 인과관계 분석", "KIF Working Paper", 2011-08, pp.1-47.

안희준, 전승표, 최종범, "남북관계 관련 뉴스가 주식시장에 미치는 영향", "한국경제의 분석", 제16권, 제2호(2010), pp.199-231.

옥기율, 김지수, "소비자 심리지수가 KOSPI 수익률에 미치는 비대칭적 영향에 대한 연구", "금융공학연구", 제11권, 제1호(2012), pp.17-37.

이득환, 김수현, 강형구, "빅데이터를 사용한 시스템 트레이딩 : KOSPI200 선물을 대상으로", 5개 학회 공동학술연구발표회, 2014.

Barber, B.M., T. Odean, and N., Zhu, "Systematic Noise," Journal of Financial Markets, Vol.12 (2009), pp.547-569. crossref(new window)

Bollen, J., H. Maoa, and X. Zeng, "Twitter mood predicts the stock market," Journal of Computational Science, Vol.2, No.1(2011), pp.1-8. crossref(new window)

Bordino, I., S. Battiston, G. Caldarelli, M. Cristell, and A. Ukkonen, "Web Search Queries Can Predict Stock Market Volumes," PloS ONE, Vol.7, No.7(2012), pp.1-17.

Choi, H. and H. Varian, "Predicting the Present with Google Trends," The Economic Record, Vol.88(2012), pp.2-9. crossref(new window)

Dorn, D., G. Huberman, and P. Sengmueller, "Correlated Trading and Returns," Journal of Finance, Vol.63(2008), pp.885-920. crossref(new window)

Goel, S., J.M. Hofman, S. Lahaie, D.M. Pennock, and D.J. Watts, "Predicting consumer behavior with Web search," PNAS, Vol.107, No.41(2010), pp.17486-17490. crossref(new window)

Jackson, A., "The Aggregate Behaviour of Individual Investors," (2003), Available at SSRN :

Kumar, A. and C.M.C. Lee, "Retail Investor Sentiment and Return Comovements," Journal of Finance, Vol.61, No.5(2006), pp.2451-2486. crossref(new window)

Preis, T., D. Reith, and H.E. Stanley, "Complex Dynamics of Our Economic Life on Different Scales : Insights from Search Engine Query Data," Philosophical Transaction of the Royal Society A, Vol.368(2010), pp.5707-5719. crossref(new window)

Preis, T., H.S. Moat, and H.E. Stanley, "Quantifying Trading Behavior in Financial Markets Using Google Trends," Scientific Reports, Vol3(2013), doi : 10.1038/srep01684. crossref(new window)

Toda, H.Y. and T. Yamamoto, "Statistical Inference in Vector Autoregressions with Possibly Integrated Processes," Journal of Econometrics, Vol.66(1995), pp.225-250. crossref(new window)