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

• Main Authors: Bautista, Art Lowell N., Santos, Fernando Miguel T., Tiongco, Liam R.
• Format: text
• Language: English
• Published: Animo Repository 2021
• Subjects: Stockholders > Philippines; Stock price indexes > Philippines; Economics; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etdb_econ/15; https://animorepository.dlsu.edu.ph/cgi/viewcontent.cgi?article=1014&context=etdb_econ
• Institution: De La Salle University

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...