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Individual investor attention and the predictability of stock market volatility and returns

Author

Listed:
  • F. Henrique Castro

    (Sao Paulo School of Economics, FGV EESP)

  • Marcelo Guzella

    (Universidade de Sao Paulo)

Abstract

We study individual investor attention to the most important stock market index in Brazil and its dynamics with market volatility and returns. We find that attention is a leading indicator of future volatility and that returns are a leading indicator of future attention. The results are robust to different specifications.

Suggested Citation

  • F. Henrique Castro & Marcelo Guzella, 2021. "Individual investor attention and the predictability of stock market volatility and returns," Economics Bulletin, AccessEcon, vol. 41(3), pages 1418-1424.
    • Handle: RePEc:ebl:ecbull:eb-21-00681
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Investor attention; Google Trends; volatility;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

    Statistics

    Access and download statistics

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