Google搜尋趨勢與認知金融：從臺灣股票市場學到的新知

Abstract

Behavioral finance is the study of the influence of psychology on the behaviors of financial practitioners and the subsequent effect on the markets. Although behavioral finance theory has been popular for many years, empirical studies only become possible recently, thanks to the advancement of technology and the availability of data and tools. This research adopts an empirical approach to investigate how investors’ attention and interview sentiments influence Taiwan stock market. In particular, we identify the psychological factors that have an impact on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX).\n In addition to TAIEX data, including TAIEX prices and trading volume, two other data sources have been used in this study: (1) Investor Confidence Index interview data provided by J.P. Morgan Asset Management, representing investors’ interview sentiments and (2) search volume data from Google Trends, symbolizing investors’ attention. We first analyzed weekly data from January 5, 2014 to November 6, 2016, and then ran regression on the data, under the Newey-West correction of standard errors method, to identify the effects of investors’ attention and interview sentiments on TAIEX. \n We have found many interesting results. First, we discovered the investors in the Taiwan stock market normally use company names, not ticker symbols, to conduct Google search for information related to investment decisions. Second, investors’ attention based on the Google Search Volume Index (SVI) searched by company names is significantly and positively correlated with the average returns of TAIEX, which agrees with the attention hypothesis of Barber and Odean (2007). Third, we verified the hypothesis of Barber and Odean (2007) that the positive trend of SVI is an indication of investors’ intention of purchasing a stock. Fourth, investors’ interview sentiment of Taiwan Stock Price Index is negatively correlated with the average returns of TAIEX, which supports the overconfident hypothesis proposed by De Bondt and Thaler (1995). By contrast, their interview sentiment of Taiwan Economic Situation Index is positively correlated with the average returns of TAIEX. Finally, trading volume is positively related to the average returns of TAIEX, which aligns with that reported in Chuang, Ouyang, and Lo (2010).