Can Big Data Help Predict Financial Market Dynamics?: Evidence from the Korean Stock Market

Can Big Data Help Predict Financial Market Dynamics?: Evidence from the Korean Stock Market

This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency prevail...

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Bibliographic Details
Main Author: Dong-Jin Pyo
Format: Article
Language:English
Published: Korea Institute for International Economic Policy 2017-06-01
Series:East Asian Economic Review
Subjects:
Big Data
Dynamic Correlation
NAVER DataLab
Stock Return
KOSPI
Online Access:http://dx.doi.org/10.11644/KIEP.EAER.2017.21.2.327

Internet

http://dx.doi.org/10.11644/KIEP.EAER.2017.21.2.327

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