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Stock market activity and Google Trends: the case of a developing economy
(Kinh Tế Quốc Dân, 2019) Bui, Xuan Vinh; Nguyen, Thu Hang
Purpose – The purpose of this paper is to investigate the impacts of investor attention on stock market activity. Design/methodology/approach – The authors employed the Google Search Volume (GSV ) Index, a direct and non-traditional proxy for investor attention. Findings – The results indicate a strong correlation between GSV and trading volume – a traditional measure of attention – proving the new measure’ s reliability. In addition, market-wide attention increases both stock illiquidity and volatility, whereas company-level attention shows mixed results, driving illiquidity and volatility in both directions. Originality/value – To the best of the authors’ knowledge, Nguyen and Pham’ s (2018) study has been the only previous study identifying investor attention in Vietnam by using GSV as a proxy and examining the impacts of broad search terms about the macroeconomy on the stock market as a whole – on stock indices’ movements. The paper will contribute to this by quantifying GSV impacts on each stock individually.