주가 점프 발생 정보가 주식시장에 미치는 비대칭적 영향에 대한 연구

In case of occurring a jump in stock prices which caused by a certain information, the effect of information will be expect to reflect on the stock price at once and in precise extent. If the market is inefficient, the information that caused stock price jump will be affecting stock price movement after the jump, and investors recognize the stock price jump as a new information for next trading. This study analyzes the effect of the stock price jumps as the information to the stock price in terms of behavioral finance using daily data. The main purposes of this study are as follows. First, this study examines whether or not the stock price overreaction existences. Stock price overreaction means that the stock price is reflecting an information over or under the degree that suggested by efficient market. Second, this study analyzes empirically whether or not the stock price show the negativity effect. Negativity effect means the asymmetric effect that investors overreact to the negative information (downward stock price jump) and underreact to the positive information (upward stock price jump). The main results of this empirical study are as follows. First, there exists stock price overreaction strongly in downward jump, but scarcely in upward jump. Second, investors show the evidences of the negativity effect that overreact to the downward stock price jump rather than the upward.