INVESTOR ATTENTION AND STOCK PERFORMANCE: A SEARCH ENGINE OPTIMIZATION APPROACH

2022-2-11
Gül, Abdullah Efe
This thesis proposes two new measures of investor attention: Search Traffic (ST) and Click Per Search (CPS). These two measures as well as the commonly used Google Search Volume Index (SVI) measure are constructed using a search engine optimization and the number of keywords is optimized while measuring SVI. ST is measured based on financial website URLs without using any search keyword and is a direct measure of investor attention. The relationships between investor attention and stock market activities consisting of return and volatility are investigated for the Dow Jones Index (DJI) and its constituent stocks. The study provides robust evidence that attention has significant and asymmetric impact on index returns as well as excess returns. It has significant and negative influence on returns under bearish conditions while significant and positive effect during bullish conditions. Attention is also a significant driver of both index and stock volatility such that volatility increases following an increase in attention. In addition, investors respond to price reversals more quickly compared to positive index returns. Observations on CPS suggest that the more investors search for a financial keyword, the less they click on financial websites per searched keyword.

Suggestions

Investor Sentiment and Closed End Fund Puzzle in an Emerging Market
Güner, Zehra Nuray (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2009)
This paper examines the closed-end fund puzzle in the Istanbul Stock Exchange. Closed-end funds are found to be trading at a discount in this market as well but the size of the discount on Turkish closed-end funds is much larger. Findings of this paper provide partial support for the investor sentiment hypothesis. Contrary to the findings for mature exchanges, investor sentiment does not seem to have a significant effect on the largest ten percent of stocks in this market. These stocks could be safe bets fo...
Investor sentiment and closed-end fund puzzle in an emerging market
Güner, Zehra Nuray (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2009)
This paper examines the closed-end fund puzzle in the Istanbul Stock Exchange. Closed-end funds are found to be trading at a discount in this market as well but the size of the discount on Turkish closed-end funds is much larger. Findings of this paper provide partial support for the investor sentiment hypothesis. Contrary to the findings for mature exchanges, investor sentiment does not seem to have a significant effect on the largest ten percent of stocks in this market. These stocks could be safe be...
Risk toplumunda meşruiyet sorunu ve örgütsel riskin meşrulaştırılması
Topal, Çağrı (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2015-4)
Bu çalışma, kapitalist risk toplumu bağlamında, insan ve çevre sağlığına yönelik örgütsel risklerin, risklerin kaynağı olan özel şirketlerin, ve riskleri denetlemekle yükümlü kamu kurumlarının, risk ve çevresel etki değerlendirme toplantıları yoluyla meşrulaştırılması sürecini incelemektedir. Çalışmanın kuramsal çerçevesini, Habermas’ın (1975) meşruiyet, Beck’in (1992) risk, ve örgüt yazınında örgütsel aktörlerin risk anlamlandırma süreçlerini meşruiyet temelinde inceleyen çalışmalar oluşturmaktadır. B...
Identifying the effectiveness of a web search engine with Turkish domain dependent impacts and global scale information retrieval improvements
Fidan, Güven; Demirörs, Onur; Yöndem, Meltem Turhan; Department of Information Systems (2012)
This study investigates the effectiveness of a Web search engine with newly added or improved features in Web search engine architecture. These features can be categorized into three groups: The impact of link quality and usage information on page importance calculation; the use of Turkish stemmer for indexing and query substitution; and, the use of thumbnails for Web search engine result visualization. As Web search engines have become the primary means for finding and accessing information on the Internet...
Development of Metacognitive Skills Inventory for Internet Search (MSIIS): Exploratory and Confirmatory Factor Analyses
Şendurur, Emine; Yıldırım, Zahide (Ilkogretim Online, 2018-01-01)
This study reports the development of metacognition inventory for Internet search for middle school students. In this study, analysis and results of both exploratory and confirmatory factors are reported. Firstly, 37-items were generated considering literature review and metacognitive challenges faced during the search process, and pilot exploratory factor analysis was conducted. Secondly, the final version of the scale was distributed to 273 seventh grade students, and the existing constructs were extracte...
Citation Formats
A. E. Gül, “INVESTOR ATTENTION AND STOCK PERFORMANCE: A SEARCH ENGINE OPTIMIZATION APPROACH,” M.S. - Master of Science, Middle East Technical University, 2022.