투자자 심리가 주간과 야간의 위험-수익률 관계에 미치는 영향

• 영문명: The Effect of Investor Sentiment on the Intraday and Overnight Risk-Return Relationship
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 김준식(Jun Sik Kim) 서성원(Sung Won Seo)
• 간행물 정보: 『아태비즈니스연구』제16권 제3호, 131~145쪽, 전체 15쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2025.09.30

국문 초록

Purpose - This study investigates how the risk-return relation varies across different trading periods— specifically intraday (open-to-close) and overnight (close-to-open)—and to examine how investor sentiment moderates this relationship in the U.S. stock market. Design/methodology/approach - The authors decompose monthly S&P 500 returns during the period from 1992 to 2023 into intraday and overnight returns and estimate the conditional variance using GARCH, GJR-GARCH, and MIDAS models. They incorporate the Consumer Confidence Index(CCI) as a proxy for investor sentiment and to evaluate its influence on the risk-return relation across different time periods. Findings - The overall risk-return trade-off is inconsistent with classical theories, according to the findings of a weak or even negative relationship during intraday. However, a strong and positive risk -return relationship is observed in overnight returns, particularly under low investor sentiment periods. This suggests that investor sentiment significantly moderates the risk-return relation, especially in overnight trading. Research implications or Originality - The study contributes to finance literature by showing that decomposing returns by trading hours and accounting for sentiment yields more nuanced insights into the risk-return trade-off. It highlights the value of incorporating behavioral factors and time segmentation into traditional models.

목차

Ⅰ. 서론

Ⅱ. 수익률 척도, 조건부 분산 예측 모형과 투자자 심리 척도

Ⅲ. 연구자료

Ⅳ. 실증분석

Ⅴ. 강건성 검증

Ⅵ. 결론

References

키워드

Investor Sentiment Risk-return relation Intraday Overninght US Market