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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/20862| Title: | 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? |
| Authors: | Cheng-Hsun Tsai 蔡承勳 |
| Advisor: | 廖咸興 |
| Keyword: | 投資人注意力,搜尋量指數,股票波動度, Investor attention,Google search volume index,Stock market volatiltiy, |
| Publication Year : | 2017 |
| Degree: | 碩士 |
| Abstract: | 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。 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. |
| URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/20862 |
| DOI: | 10.6342/NTU201701190 |
| Fulltext Rights: | 未授權 |
| Appears in Collections: | 財務金融學系 |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| ntu-106-1.pdf Restricted Access | 1.48 MB | Adobe PDF |
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