투자심리와 시장상황에 따른 모멘텀현상에 관한 연구

This paper examines the momentum phenomenon in the Korean stock market after the global financial crisis and analyze the investment sentiment and the market situation as factors affecting the momentum phenomenon. Result shows that there is momentum phenomenon in the KOSPI market and the KOSDAQ market with significantly positive zero-cost portfolio return. In addition, this study confirms that the momentum phenomenon varies depending on investor sentiment. In the KOSPI market, there is a significantly positive zero-cost portfolio return when the investor sentiment is optimistic. On the other hand, in the KOSDAQ market, higher zero-cost portfolio return exists when investor sentiment is pessimistic than when it is optimistic. It is also observed that the momentum phenomenon is different depending on the market situation. However, the KOSDAQ market shows momentum phenomenon regardless of market conditions. Finally, this paper finds that the zero-cost portfolio returns in the KOSPI market are positively related to the investor sentiment and the market returns, but they are negatively related in the KOSDAQ market and only related to the investor sentiment but not to the market condition.