The relationship between investor attention and volatility of the PSEi: A VAR and Granger causality approach

The function that investor attention plays in the movement of prices in financial markets has been a prevailing interest to financial economists. Traditionally, proxies for investor attention have been confined to but not limited to news, trading volume, and abnormal returns. However, these proxies...

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Main Authors: Bautista, Art Lowell N., Santos, Fernando Miguel T., Tiongco, Liam R.
Format: text
Language:English
Published: Animo Repository 2021
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Online Access:https://animorepository.dlsu.edu.ph/etdb_econ/15
https://animorepository.dlsu.edu.ph/cgi/viewcontent.cgi?article=1014&context=etdb_econ
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Institution: De La Salle University
Language: English
id oai:animorepository.dlsu.edu.ph:etdb_econ-1014
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spelling oai:animorepository.dlsu.edu.ph:etdb_econ-10142021-09-30T01:36:11Z The relationship between investor attention and volatility of the PSEi: A VAR and Granger causality approach Bautista, Art Lowell N. Santos, Fernando Miguel T. Tiongco, Liam R. The function that investor attention plays in the movement of prices in financial markets has been a prevailing interest to financial economists. Traditionally, proxies for investor attention have been confined to but not limited to news, trading volume, and abnormal returns. However, these proxies are indirect and are unable to directly observe the fundamental behaviors of individual investors. With this, internet search data and social media activity has offered opportunities for researchers to directly analyze collective behavior ahead of more traditional sources. The body of literature on this subject matter remains scarce and mixed, especially in emerging and underdeveloped financial markets. To observe the relationship between investor attention and returns volatility of the Philippine Stock Exchange index (PSEi), the researchers estimate vector autoregression models utilizing time series data, Google search volume index and Investagrams Social Live Feeds. With this, the study hypothesizes that investor attention and stock volatility in the Philippine stock exchange when using search queries and social media posts. The findings reveal that Google search volume negatively affects returns volatility, while Investagrams Social Live Feeds volume positively influences returns volatility. Inversely, these relationships are reversed when investigating the impact of returns volatility on investor attention. Furthermore, the results of Granger causality analysis indicate that search queries and social media posts provide information on the future volatility of the PSEi. 2021-01-01T08:00:00Z text application/pdf https://animorepository.dlsu.edu.ph/etdb_econ/15 https://animorepository.dlsu.edu.ph/cgi/viewcontent.cgi?article=1014&context=etdb_econ Economics Bachelor's Theses English Animo Repository Stockholders--Philippines Stock price indexes--Philippines Economics Finance and Financial Management
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
language English
topic Stockholders--Philippines
Stock price indexes--Philippines
Economics
Finance and Financial Management
spellingShingle Stockholders--Philippines
Stock price indexes--Philippines
Economics
Finance and Financial Management
Bautista, Art Lowell N.
Santos, Fernando Miguel T.
Tiongco, Liam R.
The relationship between investor attention and volatility of the PSEi: A VAR and Granger causality approach
description The function that investor attention plays in the movement of prices in financial markets has been a prevailing interest to financial economists. Traditionally, proxies for investor attention have been confined to but not limited to news, trading volume, and abnormal returns. However, these proxies are indirect and are unable to directly observe the fundamental behaviors of individual investors. With this, internet search data and social media activity has offered opportunities for researchers to directly analyze collective behavior ahead of more traditional sources. The body of literature on this subject matter remains scarce and mixed, especially in emerging and underdeveloped financial markets. To observe the relationship between investor attention and returns volatility of the Philippine Stock Exchange index (PSEi), the researchers estimate vector autoregression models utilizing time series data, Google search volume index and Investagrams Social Live Feeds. With this, the study hypothesizes that investor attention and stock volatility in the Philippine stock exchange when using search queries and social media posts. The findings reveal that Google search volume negatively affects returns volatility, while Investagrams Social Live Feeds volume positively influences returns volatility. Inversely, these relationships are reversed when investigating the impact of returns volatility on investor attention. Furthermore, the results of Granger causality analysis indicate that search queries and social media posts provide information on the future volatility of the PSEi.
format text
author Bautista, Art Lowell N.
Santos, Fernando Miguel T.
Tiongco, Liam R.
author_facet Bautista, Art Lowell N.
Santos, Fernando Miguel T.
Tiongco, Liam R.
author_sort Bautista, Art Lowell N.
title The relationship between investor attention and volatility of the PSEi: A VAR and Granger causality approach
title_short The relationship between investor attention and volatility of the PSEi: A VAR and Granger causality approach
title_full The relationship between investor attention and volatility of the PSEi: A VAR and Granger causality approach
title_fullStr The relationship between investor attention and volatility of the PSEi: A VAR and Granger causality approach
title_full_unstemmed The relationship between investor attention and volatility of the PSEi: A VAR and Granger causality approach
title_sort relationship between investor attention and volatility of the psei: a var and granger causality approach
publisher Animo Repository
publishDate 2021
url https://animorepository.dlsu.edu.ph/etdb_econ/15
https://animorepository.dlsu.edu.ph/cgi/viewcontent.cgi?article=1014&context=etdb_econ
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