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Investor attention and stock market activity: Evidence from France

  • Aouadi, Amal
  • Arouri, Mohamed
  • Teulon, Frédéric

The aim of this paper is to study the influence of investor attention on the French stock market activity and volatility. Following an original way, we construct a non-standard proxy of investor attention on the basis of investors' online search behavior exclusively provided by “Google insights for search”. We find that Google search volume is a reliable proxy of investor attention. Interestingly, we show that investor attention is strongly correlated to trading volume and is a significant determinant of the stock market illiquidity and volatility. Most importantly, this evidence is maintained even after controlling for the financial crisis effect.

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File URL: http://www.sciencedirect.com/science/article/pii/S0264999313003507
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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 35 (2013)
Issue (Month): C ()
Pages: 674-681

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Handle: RePEc:eee:ecmode:v:35:y:2013:i:c:p:674-681
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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