Google搜尋量指數對臺灣股票報酬與成交量之影響

Abstract

本文旨在探討投資人注意力對股票報酬與成交量之影響；以Google 搜尋量指數 (SVI)為注意力之代理變數，經篩選臺灣中型100 指數成分股中56 家公司於2008-2015 期間之相關資料為研究樣本，透過追蹤資料 (panel data) 迴歸模型進行分析。經實證發現：(1)不論短期或長期，SVI 與股價報酬或股票成交量在大多時期均呈現顯著正相關；(2) SVI 與股價報酬之正相關程度，表現在低市值公司的強度大於高市值公司，支持Da et al. (2011) 的「規模效應」；(3)當投資人情緒處於相對高潮或低潮時，SVI 對股價報酬或股票成交量均有顯著的「情緒效應」影響。

This study examines the relationship between online search intensity and stock-trading behavior in Taiwan stock market. The search intensity measured by the search volume index (SVI) of company names on Google. Our sample consists of fifty-six stocks of Taiwan Mid-Cap 100 Index from 2008 to 2015. The empirical results are as follows. First, SVI are positively correlated with both stock returns and trading volumes in most periods of the short-term and the long-term. Second, that positive correlation between SVI and stock returns is greater for small stocks than for large stocks supports the size effect of Da et al. (2011). Third, SVI have significant sentiment effects on both stock returns and trading volumes when investors’ sentiment is relatively high or low.