Abstract
This paper explores relationships between investor attention and various market variables–return, volatility, and trading volume from selected Asia-Pacific equity markets. Unlike most of previous research on attention effects, we directly measure public interest via the Google Search Volume Index (SVI) which allows us to capture retail investor attention in financial markets in a more effective way. Our research is performed at a broad index level, which is a better reflection of retail individual investors' style of investment than a specific single stock. We note, from our analysis, mostly one-way pairwise Granger causality that the change in market variables drives the change in attention. Our results post additional evidence that existence of attention is good for the market overall as it promotes market efficiency. Moreover, we find an asymmetric relationship between various positive and negative market conditions and attention.
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