一種新的投資者注意力指標：搜尋量指數之研究

Abstract

投資者注意力是一種稀缺資源，注意力的動向對市場影響深遠。本文利用中文的特殊性，對台灣市場提出了一個全新的衡量投資者注意力的指標，Google搜尋量指數SVI。通過對975家臺股上市櫃公司三年期資料進行分析，本文證明了(1)SVI囊括更多新的有效訊息和(2) SVI解釋市場能力比起以往投資者注意力變數的總和更佳，且(3)SVI時效性領先於其他投資者注意力變數。

Investor attention is a scarce cognitive resource. it has strong impact on the trend of market. This thesis introduces a new indicator in Taiwan market, Google search volume index (SVI), to measure investor attention. Throughout Analyzing 975 listed companies in TAIEX from 2010 to 2012, my thesis proved that (1) SVI includes more new effective information and (2) SVI explains the market better than traditional investor attention proxies, and (3) SVI ahead of other investors attention proxies.