EconPapers    
Economics at your fingertips  
 

Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets

Tihana Škrinjarić ()

International Journal of Financial Studies, 2019, vol. 7, issue 4, 1-30

Abstract: This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that a feedback relationship exists between stock returns, volatilities and the investor’s attention variable (captured by the online search volume). Moreover, the relationship is assumed to be time varying due to changing market conditions. Previous research does not deal with the time-varying multi-directional relationship. Thus, the contribution to existing research consists of estimating the aforementioned relationship between return, volatility and the search volume series for selected CESEE countries by using a novel approach of spillover indices within the VAR (Vector AutoRegression) model framework. The results indicate that the Google search volume affects the risk series more than the return series on the selected markets.

Keywords: investor attention; Google search volume; spillover index; VAR; stock returns; realized volatility (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 F2 F3 F41 F42 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.mdpi.com/2227-7072/7/4/59/pdf (application/pdf)
https://www.mdpi.com/2227-7072/7/4/59/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jijfss:v:7:y:2019:i:4:p:59-:d:275379

Access Statistics for this article

International Journal of Financial Studies is currently edited by Prof. Dr. Nicholas Apergis

More articles in International Journal of Financial Studies from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().

 
Page updated 2020-10-10
Handle: RePEc:gam:jijfss:v:7:y:2019:i:4:p:59-:d:275379