從Google Trends Interest看投資者關注與市場效率之關聯 – 以美國存託憑證為例

The Relationship between Investor Attention and Market Efficiency

李駿廷(Chun-Ting Lee)

指導教授 ： 劉清標

國立中正大學/管理學院/財務金融學系/碩士(2015年)

摘要

本文探討投資者對於證券的關注是否為造成市場不效率的成因之一。投資者關注的研究中曾經使用過數種不同的代理變數，但是尚未找到公認具代表性的一個。本文使用較新的網路搜尋統計量Google Trends Interest作為投資者關注之代理變數，並使用Panel VAR模型檢驗投資者關注與ADR證券報酬之間可預測性的有無，來證明投資者關注是否為市場不效率現象的推手。另外本文也進一步探討在資訊可得性不同時，投資者關注與證券報酬間的關係之變化。

本文實證結果指出，投資者關注與證券報酬間確實存在相互可預測性，即證實投資者關注確為造成市場不效率的因素之一。而在分析資訊可得性較低的國家時，其以過去報酬預測現今投資者關注的能力較弱。最後在使用Google Trends Interest作為代理變數時，發現了過去使用證券異常交易量為代理變數時未發現的顯著關係，證明了網路搜尋統計量作為投資者關注代理變數的可行性。

關鍵字

Google Trends Interest ； 市場效率 ； 投資者關注 ； 美國存託憑證

並列摘要

The purpose of this study is to investigate whether investor attention is a component of what makes the market inefficient. There were some different variables used as the proxy variable of investor attention, but there have not been one proxy variable which is recognized representative. This study uses a more recently used variable, Google Trends Interest, which is an internet searching statistic, as the proxy variable of investor attention. The Panel VAR model is used to test the predictability between investor attention and ADR return, and to find out whether investor attention is a reason of market inefficiency. Moreover, this study also investigate the variation of the relationship between investor attention and security return while the information availability is different.

The empirical results shows that the investor attention and security return do have predictability on each other. Therefore, the results prove that investor attention is a component of the cause of market inefficiency. While analyzing the securities from lower information predictability countries, the results showed there were weak predictability to predict today’s investor attention from past security returns. Finally, while we used Google Trends Interest as the proxy variable of investor attention, we found the significant relationship which was not found by using abnormal trading volume. The result proves the feasibility to use an internet searching statistic as a proxy variable of investor attention.

並列關鍵字

Google Trends Interest ； Market Efficiency ； Investor Attention ； American Depository Receipts

參考文獻

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