한국전자거래학회지 (The Journal of Society for e-Business Studies)

  • 제22권2호
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  • Pages.153-168
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  • 2017
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  • 2288-3908(pISSN)
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  • 2765-3846(eISSN)
한국전자거래학회 (Society for e-Business Studies)
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포털 검색 강도가 주가 급락에 미치는 영향에 관한 연구

The Effect of Portal Search Intensity on Stock Price Crash

  • Kim, Min-Su (Department of Economics and Finance, Soonchunhyang University) ;
  • Kwon, Hyuk-Jun (Department of IT Finance Management, Soonchunhyang University)
  • 투고 : 2017.04.14
  • 심사 : 2017.05.17
  • 발행 : 2017.05.31
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초록

최근 주식의 수익률과 거래량을 설명하는 요인 중 하나로 투자자들의 관심이나 주식관련 정보 전파의 효율성 등이 중요하게 인식되고 있다. 또한 기업관련 정보가 투자자들에게 투명하게 전파되지 않을 때 기업 주가의 급락(crash) 위험을 증가시킨다는 연구 결과들이 축적되고 있다. 본 연구에서는 네이버 트렌드를 이용하여 포털에서의 검색 강도가 증가하는 것이 주식 수익률의 급락에 어떤 영향을 미치는지를 분석하였다. 다양한 주가급락 위험의 측정변수와 검색 강도 측정치를 이용한 분석에서 포털 검색강도가 상대적으로 높은 기업-연도에서 주가 급락의 위험이 감소하는 것으로 관찰되었다. 이러한 결과는 기업 관련 정보 전파가 투자자들에게 효율적으로 이루어지지 않을 때 미래의 주가급락을 초래한다는 논의와 일치하는 결과이다. 또한 이러한 결과는 분석에 발생가능한 내생성을 통제한 후에도 유의하게 성립하는 것으로 관찰되었다.

Recent studies focus on the role of investor attention and transparency in stock-related information in explaining stock return and trading volume. Moreover, recent literatures predict that firm opacity will increase the likelihood of future stock price crashes. In this paper, we investigate, using Naver Trend, the relation between portal search intensity and stock price crash. Using various alternative measures of stock price crash risk and search intensity, we demonstrate that stocks with larger volume of portal search are less likely to experience stock price crashes. These results are consistent with our hypothesis that accumulated firm opacity cause future stock price crash. Finally, our results still hold even after we control for the potential effect of endogeneity in the regression specifications.

키워드

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