Title page for etd-1118113-154531


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URN etd-1118113-154531
Author Tzu-lun Huang
Author's Email Address spirit840000@hotmail.com
Statistics This thesis had been viewed 5363 times. Download 24 times.
Department Finance
Year 2013
Semester 1
Degree Ph.D.
Type of Document
Language English
Title Web Search Behavior of Individual Investors and Trading Activities in Capital Markets
Date of Defense 2013-12-06
Page Count 85
Keyword
  • Media Coverage
  • Asset Pricing
  • Investor Attention
  • Google Search Volume Index
  • Web Search Behavior
  • Abstract Investors nowadays can utilize search engines to collect information from the Internet before trading. Using Google Search Volume Index as a proxy, this study aims to elucidate the link between the web search behavior of investors and trading activities in the capital market. Our findings indicate that firms in portfolios with more Google search volume possess higher stock returns and Jensen's alpha. Abnormal increases in Google search volume can predict higher future stock returns. Rises in Google search volume are positively associated with trading volumes by individual investors, margin purchase, and day trading. Overall, these findings imply that market administrators can predict trading activities of individual investors by observing changes in Google search volume. Moreover, the mediation analysis indicates that the Internet and financial media probably capture investor attention from different groups. They both significantly affect stock returns, but their impacts appear to be weak and insignificant during financial crises.
    Advisory Committee
  • Jen-Sin Lee - chair
  • Chang-Chiang Chin - co-chair
  • Gow-Liang Huang - co-chair
  • Hsiou-jen Kuo - advisor
  • Miao-Ling Chen - advisor
  • Files
  • etd-1118113-154531.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2013-12-18

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