한국 주식시장에서 주의효과가 투자자의 매수행태에 미치는 영향

초록

This study tests and analyzes the influence of attention effects on the investment behavior of individual investors. Attention-driven buying results from the difficulty that investors have to collect information on thousands of stocks they can purchase. Individual investors don't face the same search problem when selling stocks because they tend to sell only stocks they already own. Using the daily data for stocks listed on the Korea Exchange, we investigate whether individual investors pay attention to stocks that show high abnormal trading volumes or extreme returns. Major findings of the paper are as follows. First, individual investors tend to pay attention to stocks with high abnormal trading volumes or extreme returns when they buy stocks. Second, the attention effect appears to be stronger for stocks with higher trading volumes than for stocks with extreme returns. Third, individual investors are most strongly influenced by the attention effect. On the contrary, the influence of the attention effect seems to be weak for institutional investors and foreign investors.

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