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

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

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

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chaiyuth Padungsaksawasdi ; Sirimon Treepongkaruna ; Brooks, Robert
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2019

Further information

• DOI: doi:10.3390/ijfs7020030
• Handle: http://hdl.handle.net/10419/257628
• Last update: 10.03.2025, 11:43 AM CET