Google搜尋量指數是否能解釋美國股市波動?

Can Google Search Volume Index Explain US Stock Volatility?

蔡承勳(Cheng-Hsun Tsai)

指導教授 ： 廖咸興

國立臺灣大學/管理學院/財務金融學研究所/碩士(2017年)

https://doi.org/10.6342/NTU201701190

摘要

本文使用 Google Trends 所提供的關鍵字搜尋量指數( Search Volume Index , SVI)當作投資人注意力的代理變數，探討此新穎的投資人注意力代理變數是否對美國股票市場的波動度具有解釋能力，實證結果顯示，SVI對於股市波動度有顯著的解釋能力，甚至在加入VIX等對波動度具有強烈解釋能力的控制變數後，SVI依然保持顯著，故本文認為在解釋股市波動度方面，SVI與其他以股票本身的交易特性或是價格行為所組成的控制變數(例如：VIX)捕捉到不同的資訊，SVI確實能用來輔助解釋股票市場的波動度。

關鍵字

投資人注意力 ； 搜尋量指數 ； 股票波動度

並列摘要

The objective of this study is to analyze the influence of investor attention on US stock market volatility. Investors’ online search behavior is used as a novel proxy of investor attention, based on data provided by Google Trends( Search Volume Index , SVI ). Our findings confirm that SVI is a significant determinant of US stock market volatility. Moreover, the result are robust even after controlling for VIX. So we think that SVI captures different information from other control variables and is useful to help explain the stock market volatility.

並列關鍵字

Investor attention ； Google search volume index ； Stock market volatiltiy

參考文獻

Aouadi, A., Aroudi, M. and Teulon, F. (2013). Investor attention and stock market activity: evidence from France. Economic Modeling, 35, 674–681.

Bank, M., Larch, M. and Peter, G. (2011). Google search volume and its influence on liquidity and returns of German stocks. Financial Markets and Portfolio Management, 25 (3), 239–264.

Barber, B. M. and Odean, T. (2008). All that glitters: the effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies, 21, 785–818.

Chouliaras, A. and Grammatikos, T. (2013). News flow, web attention and extreme returns in the European financial crisis. MPRA Paper 51335. University Library of Munich, Munich, Germany.

Da, Z, Engelberg, J. and Gao, P. (2015). The sum of all FEARS: investor sentiment and asset prices. Review of Financial Studies, 28 (1), 1–32.