 Internet search intensity, liquidity and returns in emerging marketsCuong Nguyen, Lai Hoang, Jungwook Shim and Phuong Truong Research in International Business and Finance, 2020, vol. 52, issue C Abstract: Using a sample of listed companies in the Vietnam stock market from 2013 to 2018, this paper investigates the linkage between Internet search intenseness and stock returns and trading volume. The empirical results confirm the “price pressure hypothesis” that search intensity is positively associated with subsequent stock returns and trading volume. It also finds that the positive effects on stock returns are not temporary but remain for the long term although some reversals occur. The results show that the effects of search intensity on stock returns are higher for large stocks than for small stocks. The findings also reveal that stocks that attract more attention from the public are exposed to higher market risk. These findings have not been documented in the literature so they enrich the information on the relationship between Internet search intenseness and stock market returns, especially for emerging markets where Internet user numbers are sharply increasing. Keywords: Search intensity; Returns; Liquidity; Emerging markets; Vietnam (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919306130 DOI: 10.1016/j.ribaf.2019.101166 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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