Individual investor attention and the predictability of stock market volatility and returns

F. Henrique Castro (henrique.castro@fgv.br) and Marcelo Guzella (marceloguzella@yahoo.com.br)
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F. Henrique Castro: Sao Paulo School of Economics, FGV EESP
Marcelo Guzella: Universidade de Sao Paulo

Economics Bulletin, 2021, vol. 41, issue 3, 1418-1424

Abstract: We study individual investor attention to the most important stock market index in Brazil and its dynamics with market volatility and returns. We find that attention is a leading indicator of future volatility and that returns are a leading indicator of future attention. The results are robust to different specifications.

Keywords: Investor attention; Google Trends; volatility (search for similar items in EconPapers)
JEL-codes: G1 G2 (search for similar items in EconPapers)
Date: 2021-09-17
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