 Noise of Investors’ Attention Mania in the Twenty-first-Century Indian Stock Markets: ARDL and Augmented GARCH-X ModelsParitosh Chandra Sinha Global Business Review, 2024, vol. 25, issue 5, 1171-1221 Abstract: What brings the equilibrium consensus in the stock markets? We hypothesize that the markets’ equilibrium consensus depends on the noise of investors’ attention mania (NIAM). We refer to the NIAM as investors’ attention heterogeneity and explore its impacts on the National Stock Exchange (NSE) Nifty and Bombay Stock Exchange (BSE) Sensex stocks market returns. We use the methodology of the autoregressive distributed lag (ARDL) and augmented generalized autoregressiuve conditional heteroskedacity (GARCH)-X model, and we examine if there is the presence of NIAM at online attention searches within and across the attention layers, and within and across the stated two stock markets from 2004 to 2019 for investors’ economic–political attention searches. We have revealed that the impacts of the NIAM on the market returns are diverse in nature at the different attention layers and stock markets as well. Besides the ARCH and GARCH effects, we also document the presence of familiarity bias, attention confidence or confusion, and attention integration in the short run and long run. Keywords: Noise of investors’ attention mania; attention heterogeneity; attention layers; Indian stock markets; Google Search volume index (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:sae:globus:v:25:y:2024:i:5:p:1171-1221 Access Statistics for this article More articles in Global Business Review from International Management Institute |
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