Journal of Economics and Development, Vol. 21 No. 2, pp. 191-212 | DOI 10.1108/JED-07-2019-0017
Stock market activity and Google Trends: the case of a developing economy
The purpose of this paper is to investigate the impacts of investor attention on stock market activity.
The authors employed the Google Search Volume (GSV) Index, a direct and non-traditional proxy for investor attention.
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.
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.
Keywords:Google Trends, Search engine, Investor attention, Stock illiquidity, Stock volatility