INVESTOR ATTENTION AND STOCK PERFORMANCE: A SEARCH ENGINE OPTIMIZATION APPROACH

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A.E. GÜL Thesis.pdf

Date

2022-2-11

Author

Gül, Abdullah Efe

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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.

Subject Keywords

Returns, Volatility, Investor attention, Search Engine Optimization

URI

https://hdl.handle.net/11511/96682

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Graduate School of Applied Mathematics, Thesis

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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.