@article{ART002796723},
author={Seyoon Lee and JunGi Park},
title={A Comparative Study of Stock & Cryptocurrency Market Prediction Using Internet Search Volume},
journal={Asset Management Review},
issn={2288-6672},
year={2021},
volume={9},
number={2},
pages={41-61},
doi={10.23007/amr.2022.9.2.41}
TY - JOUR
AU - Seyoon Lee
AU - JunGi Park
TI - A Comparative Study of Stock & Cryptocurrency Market Prediction Using Internet Search Volume
JO - Asset Management Review
PY - 2021
VL - 9
IS - 2
PB - Institute of Management Research, SungKyunKwan University
SP - 41
EP - 61
SN - 2288-6672
AB - Investor sentiment and behavior of market participants in the stock market and cryptocurrency market are expected to be related to their search behavior. In this study, the effectiveness was verified by extracting keywords for search terms that precede the market price and applying them to time series analysis and hypothetical investment models. To this end, high-frequency keywords were extracted from reports related to the stock and cryptocurrency market, and keywords with high correlation were selected through time series analysis between search volume and asset market index. Subsequently, the rate of return was verified by applying it to a hypothetical investment model based on the search volume of the selected keywords. As a result of the analysis, there was a significant difference in profitability when keywords were extracted from directly related corpus to each asset market compared to others. In the case of the stock market, compared to the buy-and-hold model, the search volume-based investment model could expect a high return on investment. On the contrary, in the cryptocurrency market, it was difficult to regard the search volume-based investment model as an investment strategy superior to the buy-and-hold model.
KW - Search Trends;Big Data;Stock Investment Strategy;KOSPI;KOSDAQ;Cryptocurrency;Investment Model
DO - 10.23007/amr.2022.9.2.41
ER -
Seyoon Lee and JunGi Park. (2021). A Comparative Study of Stock & Cryptocurrency Market Prediction Using Internet Search Volume. Asset Management Review, 9(2), 41-61.
Seyoon Lee and JunGi Park. 2021, "A Comparative Study of Stock & Cryptocurrency Market Prediction Using Internet Search Volume", Asset Management Review, vol.9, no.2 pp.41-61. Available from: doi:10.23007/amr.2022.9.2.41
Seyoon Lee, JunGi Park "A Comparative Study of Stock & Cryptocurrency Market Prediction Using Internet Search Volume" Asset Management Review 9.2 pp.41-61 (2021) : 41.
Seyoon Lee, JunGi Park. A Comparative Study of Stock & Cryptocurrency Market Prediction Using Internet Search Volume. 2021; 9(2), 41-61. Available from: doi:10.23007/amr.2022.9.2.41
Seyoon Lee and JunGi Park. "A Comparative Study of Stock & Cryptocurrency Market Prediction Using Internet Search Volume" Asset Management Review 9, no.2 (2021) : 41-61.doi: 10.23007/amr.2022.9.2.41
Seyoon Lee; JunGi Park. A Comparative Study of Stock & Cryptocurrency Market Prediction Using Internet Search Volume. Asset Management Review, 9(2), 41-61. doi: 10.23007/amr.2022.9.2.41
Seyoon Lee; JunGi Park. A Comparative Study of Stock & Cryptocurrency Market Prediction Using Internet Search Volume. Asset Management Review. 2021; 9(2) 41-61. doi: 10.23007/amr.2022.9.2.41
Seyoon Lee, JunGi Park. A Comparative Study of Stock & Cryptocurrency Market Prediction Using Internet Search Volume. 2021; 9(2), 41-61. Available from: doi:10.23007/amr.2022.9.2.41
Seyoon Lee and JunGi Park. "A Comparative Study of Stock & Cryptocurrency Market Prediction Using Internet Search Volume" Asset Management Review 9, no.2 (2021) : 41-61.doi: 10.23007/amr.2022.9.2.41
