Vaasan yliopiston opinnäytteet

Kauppatieteellinen tiedekunta, 2015

Dao, Thi Thanh Hoa

Testing of the effect of investor attention of stock market return and volatility: Evidence in Vietnam stock market.

Ohjaaja/Valvoja (DI):
Prof. Janne Äijö
Kauppatieteiden maisteri
Laskentatoimi ja rahoitus
Master's Degree Programme in Finance
Tutkielman kieli:
This study investigates the relationship between investors’ attention, which is measured by Google search volume index, and the index performance (index return and volatility) in Vietnamese stock market. I will test the role of attention in predicting market performance. Moreover, past return will be considered when measuring the impact of investors’ attention on future return and volatility.

The data is obtained weekly from December, 2006 to November, 2014. Stock indices are Vnindex and Hastc. Google Search Volume Index (SVI) is used as a measure for investors’ attention. Granger causality test, VAR estimations and OLS method are applied in this study in order to test whether investors’ attention is useful in predicting future stock performance and the sign of this effect as well as how the effect of investor attention is affected by changes in the past return.

Results show that both index return and volatility of Vnindex are fairly quickly influenced by search volume. This impact is not influenced by the sign of past return as well as the past return. In case of Hastc, there exists a delay in the impact of past search volume on the index return. Moreover, this impact will increase conditional on a unit change in the past return of Hastc. In the opposite direction, the results also suggest that search volume index is also affected by index return and volatility.
search volume index, investor attention, index return, index volatility, market efficiency
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