자산가격 버블현상과 투자자 비합리성에 관한 연구

초록

This study examines the relationship between asset price bubbles and investor sentiment at the individual stock level in the Korean stock market. Using weekly panel data for KOSPI and KOSDAQ listed stocks from 2000 to 2025, we identify bubble periods using the BSADF test and estimate the effect of investor sentiment on bubble occurrence through a panel linear probability model. Fama-MacBeth regressions are employed to examine bubble-related return effects, while bubble synchronization is used to assess return predictability. The results show that bubbles are widespread across individual stocks, particularly in the KOSPI market. Investor sentiment is negatively associated with bubble formation, suggesting a relationship that differs from the commonly assumed positive linkage. In addition, bubble stocks are associated with relatively higher future returns, and these bubble-related return effects become stronger during low-sentiment periods. Bubble synchronization also exhibits significant predictive power for short-term stock returns. Overall, the findings suggest that the relationship between investor sentiment and asset price bubbles is asymmetric and state-dependent. The results further indicate that bubble synchronization may serve as a useful indicator of market overheating and future price adjustments.

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