Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets

Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets

This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that a feedback relationship exists between stock r...

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Bibliographic Details
Main Author: Tihana Škrinjarić
Format: Article
Language:English
Published: MDPI AG 2019-10-01
Series:International Journal of Financial Studies
Subjects:
investor attention
google search volume
spillover index
var
stock returns
realized volatility
Online Access:https://www.mdpi.com/2227-7072/7/4/59

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