Stock market activity and Google Trends: the case of a developing economy

Abstract

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.