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Investor attention and Portuguese stock market volatility: We’ll google it for you!

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  • Ana Brochado

Abstract

The aim of this work is to analyze the influence of investor attention on the Portuguese stock market activity and volatility. As a proxy of investor attention, we use investors’ online search behavior, both at the individual stock and the overall market level, provided by Google Trends. The econometric analysis is performed both for each stock and for the index portfolio. The model include both market states and the crisis effects. As introduced by previous studies, Google search volume revealed to be a reliable proxy of investor attention and to be a significant determinant of the contemporaneous stock market historical volatility. The results are robust even after controlling for variations in market returns and market volume. Moreover, the model estimates revealed that the impact of investor attention seems to be more sensitive to the high-return market state and becomes stronger during periods of crisis.

Suggested Citation

  • Ana Brochado, 2016. "Investor attention and Portuguese stock market volatility: We’ll google it for you!," EcoMod2016 9345, EcoMod.
    • Handle: RePEc:ekd:009007:9345
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    Keywords

    Portugal; Finance; Modeling: new developments;
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