Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/303548 
Year of Publication: 
2022
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 10 [Issue:] 1 [Article No.:] 2014640 [Year:] 2022 [Pages:] 1-18
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This research examines whether Google search volume index (GSVI), a proxy of investor attention, can predict the excess returns and abnormal trading volumes of TPEx 50 index constituents. It also explores the motive underlying GSVI based on positive or negative shocks to stock prices. The empirical data include 48 companies from TPEx 50 index constituents and cover a period from 1 September 2016 to 31 August 2019. The empirical results present that (1) lagged GSVI negatively affects current excess returns, perhaps due to the characteristics of TPEx, in which there are a higher proportion of retail investors, smaller listed companies, and a higher information asymmetry problem. (2) Lagged GSVI can positively affect abnormal current trading volumes. (3) If GSVI is driven by positive shocks, then it can predict excess returns and abnormal trading volumes positively.
Subjects: 
Google search volume index
TPEx 50 index
Excess returns
Abnormal trading volumes
Investor attention
JEL: 
G00
G12
G40
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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