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Investor attention and stock market activity: Evidence from France

Amal Aouadi (), Mohamed Arouri () and Frédéric Teulon

Economic Modelling, 2013, vol. 35, issue C, 674-681

Abstract: The aim of this paper is to study the influence of investor attention on the French stock market activity and volatility. Following an original way, we construct a non-standard proxy of investor attention on the basis of investors' online search behavior exclusively provided by “Google insights for search”. We find that Google search volume is a reliable proxy of investor attention. Interestingly, we show that investor attention is strongly correlated to trading volume and is a significant determinant of the stock market illiquidity and volatility. Most importantly, this evidence is maintained even after controlling for the financial crisis effect.

Keywords: Google search volume; Information asymmetry; Stock illiquidity; Volatility (search for similar items in EconPapers)
JEL-codes: C32 D83 G12 G14 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:35:y:2013:i:c:p:674-681

DOI: 10.1016/j.econmod.2013.08.034

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