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

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ID: 48368
2019
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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.
Reference Key
padungsaksawasdi2019investorinternational Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Padungsaksawasdi, Chaiyuth;Treepongkaruna, Sirimon;Brooks, Robert;
Journal international journal of financial studies
Year 2019
DOI
DOI not found
URL
https://www.mdpi.com/2227-7072/7/2/30
Keywords
business economics as a science finance economic theory. demography commerce management. industrial management

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