GOOGLE SEACRH VOLUME AND INVESTORS’ DECISION ON RETURN AND LIQUIDITY IN INDONESIA STOCK MARKET

Faurani Santi Singagerda
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Faurani Santi Singagerda: University of sang bumi ruwa jurai

No 4cg57, INA-Rxiv from Center for Open Science

Abstract: This research investigates whether investors’ attention measured by Google Search Volume, has any impact over stock’s return and liquidity. The model being used to test the relationship between investors’ attention and stock’s return is the Fama French three factor model. While the model being used to test the relationship between investors’ attention and stock’s liquidity is the dynamic panel model. The research was conducted using two frequencies; weekly and monthly data. The weekly data covers 359 firms with 5 years time frame (2011-2016) in the Fama French model. The monthly data also covers 359 firms in the Fama French model with 10 years (2006-2016). The weekly data in the Dynamic Panel model covers 249 firms with 3 years time frame (2012-2015), while the monthly data covers 304 firms with 10 years time frame (2006-2016). This research found that there’s a significant and positive relation between investors’ attention and stock’s return. However, the relation only appears in the weekly model (higher frequency, shorter time frame). While the relation between investors’ attention and stock’s liquidity appears to be insignificant in both frequencies.

Date: 2018-06-21
New Economics Papers: this item is included in nep-sea
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Persistent link: https://EconPapers.repec.org/RePEc:osf:inarxi:4cg57

DOI: 10.31219/osf.io/4cg57

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