投資人關注對股票報酬率之影響:考量高低週轉率

伴隨著網路搜尋，各式各樣的搜尋引擎相繼推出，而最為被大眾所使用的便是Google搜尋引擎，而也因為搜尋引擎的普及，眾多投資人及散戶皆使用搜尋引擎來搜索自己欲投資的項目及方向，2006年Google推出Google Trends(谷歌搜尋趨勢)，功用在於用來搜尋在特定的時間點，該搜尋項目被搜尋的相對數量。而也因為Google Trends的影響，漸漸地出現了所謂的谷歌搜尋量指標(Google Search Volume Index)，而Da et al.(2011)提出了投資人直接的關注程度可以用網路關鍵字搜尋量來使用，利用Google Trends 的搜尋量指數掌握投資人關注的程度變得可以更即時且更容易，且 Google Trends 指數與股票價格具有正向影響的關係(Da et al., 2011)。而本研究是以S&P500為研究對象，並使用Da et al.(2011)當中的搜尋量指標(Search Volume Index ; 簡稱SVI)為主體，去區分在高與低週轉率之下，投資人關注度對於股票報酬之影響，進而以投資人關注度去預測未來的股票報酬走向。而在實證結果顯示，在高週轉率的公司中，ASVI(投資人關注)對於SR(adj close)的影響較於低週轉率的公司中來的劇烈，而低週轉率的情況下，ASVI(投資人關注)的提高並未對SR(adj close)造成顯著的影響，因此ASVI(投資人關注)對於SR(adj close)造成的顯著關係是必須建立在擁有高周轉率的公司下才有顯著的影響，再以研究成果進而做出未來股市的預測以及選擇股票的一種依據。

關鍵字

投資人關注；谷哥搜尋量指標；週轉率；股票報酬

並列摘要

Along with web search, a variety of search engines have been launched, and the most popular is the Google search engine. Because of the popularity of search engines, many investors and retail investors use search engines to search for their own desires. Investing projects and directions, Google launched Google Trends in 2006, which is used to search for the relative number of search items that were searched at a specific point in time. And because of the influence of Google Trends, the so-called Google Search Volume Index gradually appeared, and Da et al. (2011) proposed the use of online keyword search volume as the direct focus of investors. Using Google Trends' search volume index makes it easier and easier to grasp the level of investor attention, and the Google Trends index has a positive impact on stock prices (Da et al., 2011). This study is based on the S&P500 and uses the Search Volume Index (SVI) in Da et al. (2011) as the main body to distinguish between high and low turnover rates, investor attention. For the impact of stock returns, investors' attention will be used to predict the future stock returns. The empirical results show that in high turnover companies, ASVI (investor concerns) has a greater impact on SR (adj close) than in companies with low turnover rates, while in the case of low turnover rates, ASVI (ASVI ( The increase in investor concerns has not had a significant impact on SR (adj close), so the significant relationship that ASVI (investor concerns) has for SR (adj close) must be significant in companies with high turnover rates. The impact of the research, and then make a prediction of the future stock market and a basis for the selection of stocks.