Relationship between search volume for digital transformation and stock returns: an empirical study in Vietnam

Tien Phat Pham, Duc Ngoc Nguyen and Tri Ba Tran

RAUSP Management Journal, 2026, vol. 61, 6-23

Abstract: PurposeThis study aims to examine the relationship between digital transformation search volume and stock returns in the Vietnamese stock market.Design/methodology/approachThe authors collected weekly data from Google Trends and vn.investing.com, spanning from week 33 of 2019 to week 32 of 2023. Using this data set, the authors used various quantitative approaches, including VAR-Granger, Ordinary Least Squares (OLS) and Copula, to test the relationships between variables.FindingsThe results obtained from VAR-Granger analysis reveal a unidirectional causality from digital transformation search volume to the stock returns of VN-Index, VN-30 and VN-100. Findings from the OLS indicate a negative lagged impact of search volume on digital transformation for stock returns. Moreover, using the Copula approach, the authors determine that the structural dependency between the search volume for digital transformation and the VN-Index follows a normal distribution. This suggests that simultaneous positive and negative changes between the variables are equally likely to occur.Research limitations/implicationsThe study is meaningful further research.Practical implicationsThe study is meaningful for stakeholders: investors and policymakers.Originality/valueBy offering these insights, this paper contributes to a deeper understanding of the relationship between digital transformation and firm performance within the stock exchange market.

Keywords: Digital transformation; Stock return; Google search; Vietnam (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:eme:rauspp:rausp-10-2023-0214

DOI: 10.1108/RAUSP-10-2023-0214

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