Added Title
DLSU-AKI Working Paper Series 2020-10-060
College
School of Economics
Department/Unit
Economics
Document Type
Working Paper
Publication Date
10-2020
Abstract
This study investigates the relationship between daily Google search volume and trade volume in the Philippine Stock Exchange. This is completed by employing a sample consisting of listed stocks in the Philippine Stock Exchange from 2015 to 2019 and testing the veracity of three different keyword categories in proxying investor attention. The empirical results indicate that when using company names and stock tickers as Google search keywords, there is a strong positive relationship between Google search volume and trade volume. This implies that the more investors search for a stock’s company name or ticker, the more likely that there will be an increase in that stock’s trade volume the following day. Additionally, this study finds evidence that when using stock tickers as Google search keywords, aggregate investor sentiment can influence this relationship, such that it is more significant during periods of high consumer confidence. The findings support the notion that daily Google search volume can measure investor attention and potentially serve as a supplementary stock indicator for retail investors in the Philippine Stock Exchange.
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Recommended Citation
Morando, P. G., Banico, I. D., Ng, M. C., & Villardo, R. M. (2020). Discovering the Relationship Between Investor Attention and Trade Volume in the Philippine Stock Exchange Using Google Search Analysis. Retrieved from https://animorepository.dlsu.edu.ph/res_aki/35
Disciplines
Behavioral Economics | Other Economics
Keywords
PSEI; Philippine Stock Exchange; Search Volumes; Trade Volumes; Google Search; Google
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