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Attention to the Election-Economics-Politics (EEP) Nexus in the Indian Stock Markets

Paritosh Sinha ()

The Review of Finance and Banking, 2021, vol. 13, issue 1, 7-32

Abstract: Do investors pay attention to the election-economics-politics (EEP) nexus in the stock markets? In examining this research problem during the 17th Lok Sabha Election in India, this study has explored the cointegrating relationships of its’ stock markets’ returns and realised trade volumes with investors’ selective attention to keywords in Google searches. The article has used the autoregressive distributed lag (ARDL) model. It reveals ingenious findings that investors’ attention dynamics at EEP nexus cointegrate either with the market returns or traded-volumes. It also identifies investors’ attention myopia, where the cointegration twists once the nexus pulls off its election or economic factor.

Date: 2021
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