Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets
Faculty of Economics and Business, University of Zagreb, 10000 Zagreb, Croatia
Int. J. Financial Stud. 2019, 7(4), 59; https://doi.org/10.3390/ijfs7040059
Received: 30 June 2019 / Revised: 11 September 2019 / Accepted: 1 October 2019 / Published: 11 October 2019
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.
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Keywords:
investor attention; Google search volume; spillover index; VAR; stock returns; realized volatility
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Škrinjarić, T. Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets. Int. J. Financial Stud. 2019, 7, 59.
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