Unintentional herd behavior via the Google search volume index in international equity markets

Phasin Wanidwaranan and Chaiyuth Padungsaksawasdi

Journal of International Financial Markets, Institutions and Money, 2022, vol. 77, issue C

Abstract: We find that retail investor attention measured by the Google Search Volume Index helps promote herd behavior in 21 international equity markets. The proposed methodology with only one dummy variable in the herd detection model is more appropriate than prior models which include multiple dummy variables, yielding better interpretation, reliability, and validation. As the Google searches are informative and free, investors utilize the information and unknowingly make similar trading patterns, supporting unintentional herd behavior. Interestingly, the effect of retail investor attention seems to disappear in downward markets. We attribute this finding to the ostrich effect, in which investors are less attentive during downward markets because of their psychological discomfort. The robustness of our results is consistent with the main findings.

Keywords: Investor attention; Herd behavior; Google Search Volume Index; Behavioral finance; Ostrich effect (search for similar items in EconPapers)
JEL-codes: G14 G15 G40 G41 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:77:y:2022:i:c:s1042443121002067

DOI: 10.1016/j.intfin.2021.101503

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