Investor attention and stock market activity: Evidence from France |
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| Institution: | 1. CRCGM, University d''Auvergne, France;2. EDHEC Business School, 16 Rue du 4 Septembre, 75002 Paris, France;3. IPAG Business School, France;1. Department of Technology Management for Innovation, University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-8656 Japan;2. Department of Systems Innovation, University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-8656 Japan;1. School of Economics and Management, Beihang University, Beijing, China;2. School of Finance, Central University of Finance and Economics, Beijing, China;1. Ek-Chai Distribution System Co., Ltd., Bangkok 10230, Thailand;2. Department of Finance, Thammasat Business School, Thammasat University, Bangkok 10200, Thailand;3. University of Western Australia Business School, Accounting and Finance, The University of Western Australia, Perth 6009, Australia |
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| Abstract: | The aim of this paper is to study the influence of investor attention on the French stock market activity and volatility. Following an original way, we construct a non-standard proxy of investor attention on the basis of investors' online search behavior exclusively provided by “Google insights for search”. We find that Google search volume is a reliable proxy of investor attention. Interestingly, we show that investor attention is strongly correlated to trading volume and is a significant determinant of the stock market illiquidity and volatility. Most importantly, this evidence is maintained even after controlling for the financial crisis effect. |
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