Comparison of the effects of investor attention using search volume data before and after mobile device popularization

TL;DR

This paper investigates how mobile device proliferation has enhanced the measurement of retail investor attention through search volume data, comparing pre- and post-mobile era effects on stock market behavior.

Contribution

It introduces a comparative analysis of investor attention measurement accuracy before and after mobile device popularization using search volume data.

Findings

Investor attention measurement is more accurate and faster post-mobile device proliferation.

Retail traders' investor attention significantly influences short-term stock price movements.

Search volume data effectively captures retail investor interest, with improved reliability after mobile device spread.

Abstract

In this study, we will study investor attention measurement using the Search Volume Index in the recent market. Since 2009, the popularity of mobile devices and the spread of the Internet have made the speed of information delivery faster and the investment information retrieval data for obtaining investment information has increased dramatically. In these circumstances, investor attention measurement using search volume data can be measured more accurately and faster than before mobile device popularization. To confirm this, we will compare the effect of measuring investor attention using search volume data before and after mobile device popularization. In addition, it is confirmed that the measured investor attention is that of retail traders, not institutional traders or professional traders, and the relationship between investor attention and short-term price pressure theory. Using SVI data provided by Google Trends, we will experiment with Russell 3000 stocks and IPO stocks and compare the results. In addition, the results of investigating the investor's interest using the search volume data from various angles through experiments such as the comparison of the results based on the inclusion of the noise ticker group, the comparison of the limitations of the existing investor attention measurement method, and the comparison of explanatory variables with existing IPO related studies. We would like to verify its practicality and significance.