Investor Attention and Stock Market Activities: New Evidence from Panel Data

Chaiyuth Padungsaksawasdi, Sirimon Treepongkaruna and Robert Brooks
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Chaiyuth Padungsaksawasdi: Thammasat Business School, Department of Finance, Thammasat University, Bangkok 10200, Thailand
Sirimon Treepongkaruna: University of Western Australia Business School, Accounting and Finance, The University of Western Australia, 6009 Perth, Australia

IJFS, 2019, vol. 7, issue 2, 1-19

Abstract: Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI–stock market activities relationship exists, in which the SVI–trading volume relationship shows the strongest evidence. This is consistent with prior literature using trading volume as a proxy of investor attention. However, the relationships in the developed and developing markets are statistically significantly different. The stock markets in the developed markets over-react more to the search volume than those in the developing markets. We postulate that investor attention is one of the key elements in asset pricing in stock markets.

Keywords: investor attention; Google SVI; panel VAR; stock index activities; Pacific-basin countries (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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