Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257628 
Year of Publication: 
2019
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 7 [Issue:] 2 [Article No.:] 30 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-19
Publisher: 
MDPI, Basel
Abstract: 
Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI-stock market activities relationship exists, in which the SVI-trading volume relationship shows the strongest evidence. This is consistent with prior literature using trading volume as a proxy of investor attention. However, the relationships in the developed and developing markets are statistically significantly different. The stock markets in the developed markets over-react more to the search volume than those in the developing markets. We postulate that investor attention is one of the key elements in asset pricing in stock markets.
Subjects: 
investor attention
Google SVI
panel VAR
stock index activities
Pacific-basin countries
JEL: 
G40
G14
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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