Investor attention and Portuguese stock market volatility: We’ll google it for you!

Ana Brochado

No 9345, EcoMod2016 from EcoMod

Abstract: The aim of this work is to analyze the influence of investor attention on the Portuguese stock market activity and volatility. As a proxy of investor attention, we use investors’ online search behavior, both at the individual stock and the overall market level, provided by Google Trends. The econometric analysis is performed both for each stock and for the index portfolio. The model include both market states and the crisis effects. As introduced by previous studies, Google search volume revealed to be a reliable proxy of investor attention and to be a significant determinant of the contemporaneous stock market historical volatility. The results are robust even after controlling for variations in market returns and market volume. Moreover, the model estimates revealed that the impact of investor attention seems to be more sensitive to the high-return market state and becomes stronger during periods of crisis.

Keywords: Portugal; Finance; Modeling: new developments (search for similar items in EconPapers)
Date: 2016-07-04
New Economics Papers: this item is included in nep-agr, nep-mst and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ecomod.net/system/files/Brochado.Investor%2 ... ket%20volatility.pdf
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://ecomod.net/system/files/Brochado.Investor%20attention%20and%20Portuguese%20stock%20market%20volatility.pdf [301 Moved Permanently]--> https://ecomod.net/system/files/Brochado.Investor%20attention%20and%20Portuguese%20stock%20market%20volatility.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ekd:009007:9345

Access Statistics for this paper

More papers in EcoMod2016 from EcoMod Contact information at EDIRC.
Bibliographic data for series maintained by Theresa Leary ().