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Does the Search Volume Index Associate with Stock Return in the Indonesian Capital Market?

In: The Finance-Innovation Nexus: Implications for Socio-Economic Development

Author

Listed:
  • Nadia Shakira Nasr
  • Taufik Faturohman

Abstract

This study examines the relationship between the Search Volume Index (SVI) and stock return during the COVID-19 pandemic. SVI shows how many people search for a particular query over a specified period or region. This study is based on secondary financial data collected from 25 companies from the LQ45 index listed on the Indonesia Stock Exchange. Data collection uses a weekly period use financial data from March 2019 to March 2020. To examine the relationship between the SVI and stock return, this study uses the Fama-French three-factor model with the SVI as the independent variable using the regression methodology.

Suggested Citation

  • Nadia Shakira Nasr & Taufik Faturohman, 2024. "Does the Search Volume Index Associate with Stock Return in the Indonesian Capital Market?," International Symposia in Economic Theory and Econometrics, in: The Finance-Innovation Nexus: Implications for Socio-Economic Development, volume 34, pages 147-159, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:isetez:s1571-038620240000034012
    DOI: 10.1108/S1571-038620240000034012
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    More about this item

    Keywords

    Search volume index; behavioural finance; Fama-French three factors model; stock return; abnormal returns; G12; G14;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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