Attention to the Fads and Fashions in the Indian Stock Markets During COVID-19

Paritosh Chandra Sinha

Vision, 2023, vol. 27, issue 2, 202-224

Abstract: Do people show fads and fashions in their attention searches? With the Google online search data during COVID-19, particularly from January to May 2020 for the socio-economic keywords, this study examines if online searches show short-run and long-run attention dynamics leading to fads and fashions in attention to the NSE Nifty and BSE Sensex indices. This study employs the methodology of cointegrating relationship with autoregressive distributed lag (ARDL) model and explains investors’ attention search dynamics at the ‘NSE Nifty Index’ and ‘BSE Sensex Index’ caused by socio-economic attention searches. It also examines if the dynamics of attention coordination are parsimonious in nature and it explores the same with the generalized autoregressive conditional heteroskedastic (GARCH-X) model. With the ARDL models, this study finds robust and unbiased cointegrating impacts of socio-economic attention searches on the attention search for the NSE Nifty index but these are not the best linear unbiased and efficient (BLUE) ones, while the same on the BSE Sensex Index are BLUE. For the NSE Nifty index, the attention dynamics at the GARCH-X specification are BLUE while for the BSE Sensex index, the GARCH-X specification also has some additional information in terms of the ARCH effect only.

Keywords: Search Intensity; Fads and Fashions; Attention Coordination; Behavioural Economics (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:sae:vision:v:27:y:2023:i:2:p:202-224

DOI: 10.1177/09722629211002577

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