References
- Ahn, H.-J., Kang, J., & Ryu, D. (2008). Informed trading in the index option market: The case of KOSPI 200 options. Journal of Futures Markets, 28(12), 1118–1146. http://dx.doi.org/10.1002/fut.20369
- Andrade, S. C., Chang, C., & Seasholes, M. S. (2008). Trading imbalances, predictable reversals, and cross-stock price pressure. Journal of Financial Economics, 88(2), 406–423. http://dx.doi.org/10.1016/j.jfineco.2007.04.005
- Baker, M., & Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7(3), 271–299. http://dx.doi.org/10.1016/j.finmar.2003.11.005
- Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. The Journal of Finance, 61(4), 1645–1680. http://dx.doi.org/10.1111/j.1540-6261.2006.00885.x
- Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. The Journal of Economic Perspectives, 21(2), 129–151. http://dx.doi.org/10.1257/jep.21.2.129
- Baker, M., Wurgler, J., & Yuan, Y. (2012). Global, local and contagious investor sentiment. Journal of Financial Economics, 104(2), 272–287. http://dx.doi.org/10.1016/j.jfineco.2011.11.002
- Banerjee, S., & Green, B. (2015). Signal or noise? Uncertainty and learning about whether other traders are informed. Journal of Financial Economics, 117(2), 398–423. http://dx.doi.org/10.1016/j.jfineco.2015.05.003
- Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2009). Just how much do individual investors lose by trading? Review of Financial Studies, 22(2), 609–632. http://dx.doi.org/10.1093/rfs/hhn046
- Barber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. The Journal of Finance, 55(2), 773–806. http://dx.doi.org/10.1111/0022-1082.00226
- Barber, B. M., Odean, T., & Zhu, N. (2009). Systematic noise. Journal of Financial Markets, 12(4), 547–569. http://dx.doi.org/10.1016/j.finmar.2009.03.003
- Ben-Rephael, A., Kandel, S., & Wohl, A. (2012). Measuring investor sentiment with mutual fund flows. Journal of Financial Economics, 104(2), 363–382. http://dx.doi.org/10.1016/j.jfineco.2010.08.018
- Berger, D., & Turtle, H. J. (2012). Cross-sectional performance and investor sentiment in a multiple risk factor model. Journal of Banking & Finance, 36(4), 1107–1121. http://dx.doi.org/10.1016/j.jbankfin.2011.11.001
- Brown, G. W. (1999). Volatility, sentiment, and noise traders. Financial Analysts Journal, 55(2), 82–90. http://dx.doi.org/10.2469/faj.v55.n2.2263
- Brown, G. W., & Cliff, M. (2004). Investor sentiment, the near-term stock market. Journal of Empirical Finance, 11(1), 1–27. http://dx.doi.org/10.1016/j.jempfin.2002.12.001
- Chan, K., Covrig, V., & Ng, L. (2005). What determines the domestic bias and foreign bias? Evidence from mutual fund equity allocations worldwide. The Journal of Finance, 60(3), 1495–1534. http://dx.doi.org/10.1111/j.1540-6261.2005.768_1.x
- Chen, H., Chong, T. T. L., & Duan, X. (2010). A principal-component approach to measuring investor sentiment. Quantitative Finance, 10(4), 339–347. http://dx.doi.org/10.1080/14697680903193389
- Chong, T. T. L., & Ng, W. K. (2008). Technical analysis and the London stock exchange: Testing the MACD and RSI rules using the FT30. Applied Economics Letters, 15(14), 1111–1114. http://dx.doi.org/10.1080/13504850600993598
- Chung, C. Y., Kim, H., & Ryu, D. (2017). Foreign investor trading and information asymmetry: Evidence from a leading emerging market. Applied Economics Letters. http://dx.doi.org/10.1080/13504851.2016.1208349
- Chung, K. H., Park, S. G., & Ryu, D. (2016). Trade duration, informed trading, and option moneyness. International Review of Economics & Finance, 44, 395–411. http://dx.doi.org/10.1016/j.iref.2016.02.003
- Chung, S. L., Hung, C. H., & Yeh, C. Y. (2012). When does investor sentiment predict stock returns? Journal of Empirical Finance, 19(2), 217–240. http://dx.doi.org/10.1016/j.jempfin.2012.01.002
- De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703–738. http://dx.doi.org/10.1086/261703
- Dorn, D., Huberman, G., & Sengmueller, P. (2008). Correlated trading and returns. The Journal of Finance, 63(2), 885–920. http://dx.doi.org/10.1111/j.1540-6261.2008.01334.x
- Fisher, K. L., & Statman, M. (2003). Consumer confidence and stock returns. Journal of Portfolio Management, 30(1), 115–127. http://dx.doi.org/10.3905/jpm.2003.319925
- Foucault, T., Sraer, D., & Thesmar, D. J. (2011). Individual investors and volatility. The Journal of Finance, 66(4), 1369–1406. http://dx.doi.org/10.1111/j.1540-6261.2011.01668.x
- Frazzini, A., & Lamont, O. A. (2008). Dumb money: Mutual fund flows and the cross-section of stock returns. Journal of Financial Economics, 88(2), 299–322. http://dx.doi.org/10.1016/j.jfineco.2007.07.001
- Greenwood, R., & Nagel, S. (2009). Inexperienced investors and bubbles. Journal of Financial Economics, 93(2), 239–258. http://dx.doi.org/10.1016/j.jfineco.2008.08.004
- Griffin, J. M., Harris, J. H., & Topaloglu, S. (2003). The dynamics of institutional and individual trading. The Journal of Finance, 58(6), 2285–2320. http://dx.doi.org/10.1046/j.1540-6261.2003.00606.x
- Grinblatt, M., & Keloharju, M. (2000). The investment behavior and performance of various investor types: A study of finland’s unique data set. Journal of Financial Economics, 55(1), 43–67. http://dx.doi.org/10.1016/S0304-405X(99)00044-6.
- Ho, C., & Hung, C. H. (2009). Investor sentiment as conditioning information in asset pricing. Journal of Banking & Finance, 33(5), 892–903. http://dx.doi.org/10.1016/j.jbankfin.2008.10.004
- Hvidkjaer, S. (2008). Small trades and the cross-section of stock returns. Review of Financial Studies, 21(3), 1123–1151. http://dx.doi.org/10.1093/rfs/hhn049
- Kaniel, R., Saar, G., & Titman, S. (2008). Individual investor trading and stock returns. The Journal of Finance, 63(1), 273–310. http://dx.doi.org/10.1111/j.1540-6261.2008.01316.x
- Kim, H., & Ryu, D. (2012). Which trader’s order-splitting strategy is effective? The case of an index options market. Applied Economics Letters, 19(17), 1683–1692. http://dx.doi.org/10.1080/13504851.2012.665590
- Kim, J. S., & Ryu, D. (2015). Effect of the subprime mortgage crisis on a leading emerging market. The Investment Analysts Journal, 44(1), 20–42.
- Kim, J. S., Ryu, D., & Seo, S. W. (2014). Investor sentiment and return predictability of disagreement. Journal of Banking & Finance, 42, 166–178. http://dx.doi.org/10.1016/j.jbankfin.2014.01.017
- Kim, J. S., Ryu, D., & Seo, S. W. (2015). Corporate vulnerability index as a fear gauge? Exploring the contagion effect between U.S. and Korean markets. Journal of Derivatives, 23(1), 73–88. http://dx.doi.org/10.3905/jod.2015.23.1.073
- Kim, K., & Byun, J. (2010). Effect of investor sentiment on market response to stock split announcement. Asia-Pacific Journal of Financial Studies, 39(6), 687–719. http://dx.doi.org/10.1111/j.2041-6156.2010.01029.x
- Kumar, A., & Lee, C. (2006). Retail investor sentiment and return comovements. The Journal of Finance, 61(5), 2451–2486. http://dx.doi.org/10.1111/j.1540-6261.2006.01063.x
- Kurov, A. (2010). Investor sentiment and the stock market’s reaction to monetary policy. Journal of Banking & Finance, 34(1), 139–149. http://dx.doi.org/10.1016/j.jbankfin.2009.07.010
- Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, 49(5), 1541–1578. http://dx.doi.org/10.1111/j.1540-6261.1994.tb04772.x
- Lee, C., Shleifer, A., & Thaler, R. (1991). Investor sentiment and the closed-end fund puzzle. The Journal of Finance, 46(1), 75–109. http://dx.doi.org/10.1111/j.1540-6261.1991.tb03746.x
- Lee, W. Y., Jiang, C. X., & Indro, D. C. (2002). Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking & Finance, 26(12), 2277–2299. http://dx.doi.org/10.1016/S0378-4266(01)00202-3
- Lemmon, M., & Portniaguina, E. (2006). Consumer confidence and asset prices: Some empirical evidence. Review of Financial Studies, 19(4), 1499–1529. http://dx.doi.org/10.1093/rfs/hhj038
- Liao, T. L., Huang, C. J., & Wu, C. Y. (2011). Do fund managers herd to counter investor sentiment? .Journal of Business Research, 64(2), 207–212. http://dx.doi.org/10.1016/j.jbusres.2010.01.007
- McLean, R. D., & Zhao, M. (2014). The business cycle, investor sentiment, and costly external finance. The Journal of Finance, 69(3), 1377–1409. http://dx.doi.org/10.1111/jofi.12047
- Nagel, S. (2005). Short sales, institutional investors and the cross-section of stock returns. Journal of Financial Economics, 78(2), 277–309. http://dx.doi.org/10.1016/j.jfineco.2004.08.008
- Neal, R., & Wheatley, S. M. (1998). Do measures of investor sentiment predict returns? Journal of Financial and Quantitative Analysis, 33(4), 523–547. http://dx.doi.org/10.2307/2331130
- Ryu, D. (2012). The profitability of day trading: An empirical study using high-quality data. The Investment Analysts Journal, 41(75), 43–54.
- Ryu, D. (2015). The information content of trades: An analysis of KOSPI 200 index derivatives. Journal of Futures Markets, 35(3), 201–221. http://dx.doi.org/10.1002/fut.21637
- Ryu, D., Kim, H. Y., & Yang, H. (2017). Investor sentiment, trading behavior, and stock returns. Applied Economics Letters.
- Ryu, D., Ryu, D., & Hwang, J. H. (2016). Corporate social responsibility, market competition, and shareholder wealth. The Investment Analysts Journal, 45(1), 16–30. http://dx.doi.org/10.1080/10293523.2015.1125059
- Scheinkman, J. A., & Xiong, W. (2003). Overconfidence and speculative bubbles. Journal of Political Economy, 111(6), 1183–1220. http://dx.doi.org/10.1086/378531
- Sharma, V., Hur, J., & Lee, H. (2008). Glamour versus value: Trading behavior of institutions and individual investors. Journal of Financial Research, 31(1), 65–84. http://dx.doi.org/10.1111/j.1475-6803.2008.00232.x
- Shleifer, A. (2000). Inefficient markets: An introduction to behavioural finance. Oxford: Oxford University Press. http://dx.doi.org/10.1093/0198292279.001.0001
- Sim, M., Ryu, D., & Yang, H. (2016). Tests on the monotonicity properties of KOSPI 200 options prices. Journal of Futures Markets, 36(7), 625–646. http://dx.doi.org/10.1002/fut.21763
- Stambaugh, R. F., Yu, J., & Yuan, Y. (2012). The short of it: Investor sentiment and anomalies. Journal of Financial Economics, 104(2), 288–302. http://dx.doi.org/10.1016/j.jfineco.2011.12.001
- Swaminathan, B. (1996). Time-varying expected small firm returns and closed-end fund discounts. Review of Financial Studies, 9(3), 845–887. http://dx.doi.org/10.1093/rfs/9.3.845
- Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. The Journal of Finance, 62(3), 1139–1168. http://dx.doi.org/10.1111/j.1540-6261.2007.01232.x
- Webb, R. I., Ryu, D., Ryu, D., & Han, J. (2016). The price impact of futures trades and their intraday seasonality. Emerging Markets Review, 26, 80–98. http://dx.doi.org/10.1016/j.ememar.2016.01.002
- Wong, W. K., Manzur, M., & Chew, B. K. (2003). How rewarding is technical analysis? Evidence from Singapore stock market. Applied Financial Economics, 13(7), 543–551. http://dx.doi.org/10.1080/0960310022000020906
- Yang, C., & Zhang, R. (2014). Does mixed-frequency investor sentiment impact stock returns? Based on the empirical study of MIDAS regression model. Applied Economics, 46(9), 966–972. http://dx.doi.org/10.1080/00036846.2013.864041
- Yang, C., & Zhou, L. (2015). Investor trading behavior, Investor sentiment and Asset prices. The North American Journal of Economics and Finance, 34, 42–62. http://dx.doi.org/10.1016/j.najef.2015.08.003
- Yang, C., & Zhou, L. (2016). Individual stock crowded trades, individual stock investor sentiment and excess returns. The North American Journal of Economics and Finance, 38, 39–53. http://dx.doi.org/10.1016/j.najef.2016.06.001
- Yang, H., Choi, H.-S., & Ryu, D. (2017). Option market characteristics and price monotonicity violations. Journal of Futures Markets. http://dx.doi.org/10.1002/fut.21826