Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257657 
Year of Publication: 
2019
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 7 [Issue:] 4 [Article No.:] 59 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-30
Publisher: 
MDPI, Basel
Abstract: 
This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that a feedback relationship exists between stock returns, volatilities and the investor's attention variable (captured by the online search volume). Moreover, the relationship is assumed to be time varying due to changing market conditions. Previous research does not deal with the time-varying multi-directional relationship. Thus, the contribution to existing research consists of estimating the aforementioned relationship between return, volatility and the search volume series for selected CESEE countries by using a novel approach of spillover indices within the VAR (Vector AutoRegression) model framework. The results indicate that the Google search volume affects the risk series more than the return series on the selected markets.
Subjects: 
Google search volume
investor attention
realized volatility
spillover index
stock returns
VAR
JEL: 
C32
G10
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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