Does the Search Volume Index Associate with Stock Return in the Indonesian Capital Market?

Nadia Shakira Nasr and Taufik Faturohman

A chapter in The Finance-Innovation Nexus: Implications for Socio-Economic Development, 2024, vol. 34, pp 147-159 from Emerald Group Publishing Limited

Abstract: This study examines the relationship between the Search Volume Index (SVI) and stock return during the COVID-19 pandemic. SVI shows how many people search for a particular query over a specified period or region. This study is based on secondary financial data collected from 25 companies from the LQ45 index listed on the Indonesia Stock Exchange. Data collection uses a weekly period use financial data from March 2019 to March 2020. To examine the relationship between the SVI and stock return, this study uses the Fama-French three-factor model with the SVI as the independent variable using the regression methodology.

Keywords: Search volume index; behavioural finance; Fama-French three factors model; stock return; abnormal returns; G12; G14 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eme:isetez:s1571-038620240000034012

DOI: 10.1108/S1571-038620240000034012

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