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Investor Attention and Stock Market Activities: New Evidence from Panel Data

1
Thammasat Business School, Department of Finance, Thammasat University, Bangkok 10200, Thailand
2
University of Western Australia Business School, Accounting and Finance, The University of Western Australia, 6009 Perth, Australia
3
Monash Business School, Department of Econometrics and Business Statistics, Monash University, Clayton VIC 3800, Australia
*
Author to whom correspondence should be addressed.
Int. J. Financial Stud. 2019, 7(2), 30; https://doi.org/10.3390/ijfs7020030 (registering DOI)
Received: 11 May 2019 / Revised: 8 June 2019 / Accepted: 10 June 2019 / Published: 12 June 2019
PDF [1035 KB, uploaded 14 June 2019]

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.
Keywords: investor attention, Google SVI, panel VAR, stock index activities, Pacific-basin countries investor attention, Google SVI, panel VAR, stock index activities, Pacific-basin countries
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

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Padungsaksawasdi, C.; Treepongkaruna, S.; Brooks, R. Investor Attention and Stock Market Activities: New Evidence from Panel Data. Int. J. Financial Stud. 2019, 7, 30.

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