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Investor attention and stock market activity: Evidence from France

  • Amal Aouadi
  • Mohamed Arouri
  • Frédéric Teulon

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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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-405.

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Length: 11 pages
Date of creation: 27 Jun 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-405
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  28. repec:ipg:wpaper:24 is not listed on IDEAS
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