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http://bura.brunel.ac.uk/handle/2438/22394
Title: | Structural transmissions among investor attention, stock market volatility and trading volumes |
Authors: | Herwartz, H Xu, F |
Keywords: | search engine data;realised volatility;structural VAR |
Issue Date: | 22-Jun-2021 |
Publisher: | John Wiley & Sons |
Citation: | Herwartz, H. and Xu, F. (2022) 'Structural transmissions among investor attention, stock market volatility and trading volumes', European Financial Management, 28 (1), pp. 260 - 279 (20). doi: 10.1111/eufm.12315. |
Abstract: | Copyright © 2021 The Authors. We employ data-based approaches to identify the transmissions of structural shocks among investor attention measured by Google search queries, realised volatilities and trading volumes in the United States, the United Kingdom and the German stock market. The two identification approaches adopted for the structural vector autoregressive analysis are based on independent component analysis and the informational content of disproportional variance changes. Our results show robust evidence that investors' attention affects both volatilities and trading volumes contemporaneously, whereas the latter two variables lack immediate impacts on investors' attention. Some movements in investors' attention can be traced back to market sentiment. |
Description: | A preprint of the paper is available at https://www.brunel.ac.uk/economics-and-finance/research-and-phd-programmes/research-papers. |
URI: | https://bura.brunel.ac.uk/handle/2438/22394 |
DOI: | https://doi.org/10.1111/eufm.12315 |
ISSN: | 1354-7798 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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