Artikel

Investor attention and stock market activities: New evidence from panel data

Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI-stock market activities relationship exists, in which the SVI-trading volume relationship shows the strongest evidence. This is consistent with prior literature using trading volume as a proxy of investor attention. However, the relationships in the developed and developing markets are statistically significantly different. The stock markets in the developed markets over-react more to the search volume than those in the developing markets. We postulate that investor attention is one of the key elements in asset pricing in stock markets.

Sprache
Englisch

Erschienen in
Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 7 ; Year: 2019 ; Issue: 2 ; Pages: 1-19 ; Basel: MDPI

Klassifikation
Wirtschaft
Behavioral Finance: General‡
Information and Market Efficiency; Event Studies; Insider Trading
International Financial Markets
Thema
investor attention
Google SVI
panel VAR
stock index activities
Pacific-basin countries

Ereignis
Geistige Schöpfung
(wer)
Chaiyuth Padungsaksawasdi
Sirimon Treepongkaruna
Brooks, Robert
Ereignis
Veröffentlichung
(wer)
MDPI
(wo)
Basel
(wann)
2019

DOI
doi:10.3390/ijfs7020030
Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Chaiyuth Padungsaksawasdi
  • Sirimon Treepongkaruna
  • Brooks, Robert
  • MDPI

Entstanden

  • 2019

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