Investor Attention and Stock Market Activities: New Evidence from Panel Data
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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.
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padungsaksawasdi2019investorinternational
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| Authors | Padungsaksawasdi, Chaiyuth;Treepongkaruna, Sirimon;Brooks, Robert; |
| Journal | international journal of financial studies |
| Year | 2019 |
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