The Impact of Google Search Volume Index on Taiwan Stock Market

Abstract

The purpose of this paper is to observe whether the Google search volume index can serve as a valid proxy for investor sentiment in Taiwan stock market In the empirical work I sort the sample of Taiwan's top 50 firms into four quartiles based on the search intensity from previous month in order to examine whether the increases in search intensity indeed foreshadow the abnormal returns and abnormal trading volume According to the results the increases in search intensity will generate abnormal trading volume however it generates more negative abnormal return instead Considering that retail investors are more likely to have irrational investment behaviors when investors have different expectations about the future investment environment they may have different trading behaviors after searching for the stock information Thus I further add the opportunity to invest stocks in the next six months as a basis for grouping to further verify whether the correlation of search intensity and abnormal return will lead to different results under different expectations for the future investment environment The result shows that no matter if it is under an optimistic or pessimistic situation for the future investment environment the more of the search intensity will lead to a worse abnormal return Last in the hypothesis that the sensitivity of returns to search intensity will be lowest for easy-to-arbitrage stocks the result didn’t show the same evidence as Joseph et al (2011) said

Date of Award	2020
Original language	English
Supervisor	Shao-Huai Liang (Supervisor)