Online search activities and investor attention on financial markets

Abstract

We investigate the online search activities regarding stock markets and their applications on forecasting trading volumes, stock turnover, and stock volatility. Following Da et al. (2011), we use the Google Search Volume Index (SVI) as a direct proxy for individual investors' attention. For Taiwan's top 50 firms, we show that online search activities are significantly correlated with stock turnover, trading volumes and stock volatility, indicating that online search activities reflect individual investors' attention and thus are associated with investors' investment behaviors.