Information environment and sectoral stock returns on the Vietnamese stock market

Abstract

This study examines the relationship between investor attention - measured via Google Search Intensity (SI) - and sectoral stock returns on the Vietnamese stock market. Grounded in the theory of investor attention, the research employs a fixed-effects regression model using daily data from stocks listed on both the Ho Chi Minh City Stock Exchange (HOSE) and the Hanoi Stock Exchange (HNX). Empirical results indicate that SI has a statistically significant positive impact on stock returns within the real estate, industrial, financial and consumer discretionary sectors. The findings suggest that: (1) investor attention is a crucial mechanism in the price formation process and (2) auditing serves as a vital institution to ensure the reliability of disclosed information, providing a foundation for the impact of attention to be reflected in stock prices within emerging markets.