Investors’ attention: does it impact the Nigerian stock market activities?

Abstract

Purpose – The author investigates whether investors’ online information demand measured by Google search query and the changes in the numbers of Wikipedia page view can explain and predict stock return, trading volume and volatility dynamics of companies listed on the Nigerian Stock Exchange. Design/methodology/approach – The multiple regression model which encompasses both the univariate and multivariate regression framework was employed as the research methodology. As part of our preanalysis, we test for multicollinearity and applied the Wu/Hausman specification test to detect whether endogeneity exist in the regression model. Findings – We provide novel and robust evidence that Google searches neither explain the contemporaneous nor predict stock return, trading volume and volatility dynamics. Similarly, results also indicate that trading volume and volatility dynamics have no relationship with changes in the numbers of Wikipedia pages view related to stock activities. Originality/value – This study opens new strand of empirical literature of “ investors’ attention” in the context of African stock markets as empirical evidence. No evidence from previous studies on investors’ attention exist, whether in Google search query or Wikipedia page view, with respect to African stock markets, particularly the Nigerian stock market. This study seeks to bridge these knowledge gaps by examining these relations.