How investor attention affects stock returns? Some international evidence

Akarsu S., Süer Ö.

BORSA ISTANBUL REVIEW, cilt.22, sa.3, ss.616-626, 2022 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 22 Sayı: 3
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1016/j.bir.2021.09.001
  • Dergi Adı: BORSA ISTANBUL REVIEW
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, EconLit, Directory of Open Access Journals
  • Sayfa Sayıları: ss.616-626
  • Anahtar Kelimeler: Google search volume index, Investor attention, National culture, Panel granger causality, Stock returns, INDIVIDUAL INVESTORS, SEARCH INTENSITY, LIQUIDITY, OVERCONFIDENCE, COMMONALITY, PERFORMANCE, VOLUME, INDEX, RISK, NEWS
  • Galatasaray Üniversitesi Adresli: Evet

Özet

We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock returns is not consistent throughout the world. The direction and significance of the impact vary from country to country. We also find that investor attention is more significant in individualistic countries, countries with high uncertainty avoidance, and developed countries. Furthermore, we find that the impact of abnormal returns on investor attention is more consistent across countries. One-week lagged absolute abnormal returns can positively predict investor attention in sixteen countries. Our results also show that investor attention returns to normal levels in three weeks in individualistic countries and countries with low uncertainty avoidance. Copyright (c) 2021, Borsa _Istanbul Anonim S,irketi. Production and hosting by Elsevier B.V. This is an open access article under the CC BY-NCND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).