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

Chaiyuth Padungsaksawasdi, Sirimon Treepongkaruna, Robert Brooks

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Abstract

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.

Original languageEnglish
Article number30
Number of pages19
JournalInternational Journal of Financial Studies
Volume7
Issue number2
DOIs
Publication statusPublished - Jun 2019

Keywords

  • Google SVI
  • Investor attention
  • Pacific-basin countries
  • Panel VAR
  • Stock index activities

Cite this

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Investor attention and stock market activities : new evidence from panel data. / Padungsaksawasdi, Chaiyuth; Treepongkaruna, Sirimon; Brooks, Robert.

In: International Journal of Financial Studies, Vol. 7, No. 2, 30, 06.2019.

Research output: Contribution to journalArticleResearchpeer-review

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AB - 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.

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