The Relationship between Investor Attention and Stock Markets: An Application on ISE-100 Index

Turhan Korkmaz, Emrah Çevik and Nuket Kirci Cevik ()
Additional contact information
Turhan Korkmaz: Mersin University

Business and Economics Research Journal, 2017, vol. 8, issue 2, 203-215

Abstract: The most of theoretical financial models that have been used in the literature depend on the conceptual terms such as information, information flow, information supply and demand for information. It is well known that investors take into account information about market and company in the process of investment decision. In this context, there have been extensive studies that focus on the relation between investors' relation and financial markets and different proxy variables for measuring investors' relation have been used in the literature due to investors' relation cannot be directly measure. The aim of this study is to examine the empirical relation between investor attention and stock market empirically. In order to determine the investor attention toward stock market, Google search queries statistics are employed. Differently from existing literature, the relationship between investor attention and stock market is analyzed in terms of stock returns and volumes by means of causality in mean and variance test suggested by Hong (2001). Empirical findings suggest weak causal link going from investors’ attention to stock returns. On the other hand, stock volume is found to be Granger cause of investors’ relation.

Keywords: Investors’ Relation; Stock Market; BIST 100; Google Search Trends (search for similar items in EconPapers)
JEL-codes: C58 F31 G12 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.berjournal.com/the-relationship-between ... ion-on-ise-100-index Full text (application/pdf)

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:ris:buecrj:0267

Access Statistics for this article

Business and Economics Research Journal is currently edited by Adem Anbar

More articles in Business and Economics Research Journal from Uludag University, Faculty of Economics and Administrative Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Adem Anbar ().