Time varying spillovers between the online search volume and stock returns: Case of CESEE markets

This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that a feedback relationship exists between stock r...

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Bibliographic Details
Published in:International journal of financial studies 2019-12, Vol.7 (4), p.1-30
Main Author: Škrinjarić, Tihana
Format: Article
Language:English
Subjects:
Google search volume
investor attention
realized volatility
spillover index
stock returns
VAR
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Summary:This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that a feedback relationship exists between stock returns, volatilities and the investor's attention variable (captured by the online search volume). Moreover, the relationship is assumed to be time varying due to changing market conditions. Previous research does not deal with the time-varying multi-directional relationship. Thus, the contribution to existing research consists of estimating the aforementioned relationship between return, volatility and the search volume series for selected CESEE countries by using a novel approach of spillover indices within the VAR (Vector AutoRegression) model framework. The results indicate that the Google search volume affects the risk series more than the return series on the selected markets.
ISSN:2227-7072
2227-7072
DOI:10.3390/ijfs7040059