The Effect of Investor Attention on Equity Markets: Panel Data Analysis on Banks Traded on Borsa Istanbul

Tuğba Nur-Topaloğlu and İlhan Ege

Sosyoekonomi Journal, 2020, issue 28(44)

Abstract: In this study, it is aimed to investigate the relationship between investor’s attention measured by SVI (Google Search Volume Index) and both stock return and trading volume of the banks listed in Borsa İstanbul for the period 2010-2018. For this purpose, together with “bank name stock”, “bank name stock market”, “banks’ BIST code” keyword search volumes, “Total GAT” which is the sum of the each independent search volume index has been taken as independent variables while stock returns and trading volume are used as dependent variables. As a result of the panel data analysis, a statistically significant and positive relationship has been found between stock return and the “banks’ BIST code”, while no significant relationship has been found between other independent variables and the stock return. In addition, while there exists a statistically significant and positive relationship between each of the independent variables namely “bank name stock market”, “banks’ BIST code”, “total GAT” and our other dependent variable, trading volume, there is no statistically significant relationship between “bank name stock” variable and trading volume. The results of this research are generally supported by Merton (1987) Investor Recognition Hypothesis and Barber and Odean (2008) Price Pressure Hypothesis.

Keywords: Investor Attention; Google Search Trends; Equity Market. (search for similar items in EconPapers)
JEL-codes: C33 G2 G21 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://dergipark.gov.tr/download/article-file/1060175

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:sos:sosjrn:200209

Access Statistics for this article

More articles in Sosyoekonomi Journal from Sosyoekonomi Society Cihan St. 27/7 06430 Sihhiye Ankara Turkey.
Bibliographic data for series maintained by Aysen Sivrikaya ().