인터넷 검색량과 투자자별 거래 및 주식수익률의 관계에 대한 실증 연구

I use aggregate search volume in internet portal site as a measure of investor attention to securities. and investigate the relationship between investor attention, investors trading, and stock returns in KOSPI　market. According to the results, search volume can be the independent investor attention proxy. An increase in aggregate search volume leads an increase in trading volume, and is positively correlated with an increase in both buying and selling of all investors. In especial, an increase in individual investors' buying has the strongest positive correlation with the increase in search volume. This finding supports that search volume captures individual investor attention. Further, stocks with increased search volume have temporary higher returns. This relation is stronger among small stocks. Literature argues that the positive relation between asset price and search volume is caused by price pressure due to individual buying activity. I directly find that increased search volume leads an increase in individual investors’ net buying, and has stronger positive relation with returns on stocks with higher individual investors’ turnover and net buying.