 Attention effect via internet search intensity in Asia-Pacific stock marketsParkpoom Tantaopas, Chaiyuth Padungsaksawasdi and Sirimon Treepongkaruna Pacific-Basin Finance Journal, 2016, vol. 38, issue C, 107-124 Abstract: This paper explores relationships between investor attention and various market variables–return, volatility, and trading volume from selected Asia-Pacific equity markets. Unlike most of previous research on attention effects, we directly measure public interest via the Google Search Volume Index (SVI) which allows us to capture retail investor attention in financial markets in a more effective way. Our research is performed at a broad index level, which is a better reflection of retail individual investors' style of investment than a specific single stock. We note, from our analysis, mostly one-way pairwise Granger causality that the change in market variables drives the change in attention. Our results post additional evidence that existence of attention is good for the market overall as it promotes market efficiency. Moreover, we find an asymmetric relationship between various positive and negative market conditions and attention. Keywords: Investor attention; Google search volume index; Return; Volatility; Trading volume; Market efficiency; Asymmetric effect (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:eee:pacfin:v:38:y:2016:i:c:p:107-124 DOI: 10.1016/j.pacfin.2016.03.008 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.