Relationship Between Stock Market Abnormal Return and Google Abnormal Searches: A Case Study From Taiwan

• Main Authors: TSAN, NING, 昝寧
• Other Authors: Shih, Dong-Her
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/m2hj49

碩士 === 國立雲林科技大學 === 資訊管理系 === 107 === The stock market is an important part of the financial economy. Investors can use several stock-related information as a reference point to determine the timing of buying or selling transactions or entering the stock market. Using a search platform to observe stock-related information is one of the most convenient and lowest-cost methods for investors. In the past, some studies pointed out that the stock returns will be affected by investors' attention, but less research has investigated the abnormal stock returns. Therefore, this study intends to extend the contemporary relationship between abnormal search volume index and stock abnormal returns, and whether it is possible to use abnormal search volume index and stock market related variables to predict stock abnormal returns. This study fixes the scope of the stock market to Taiwan, and filter Taiwan Semiconductor Manufacturing Company (TSMC) as research data. The results of this study show that: 1. The model with abnormal search index has good explanatory and predictive ability for most explanatory and predictive models, but in the current relationship, all variables are used as input variables as the optimal model. 2. The difference between this study and the previous research is that the abnormal liquidity variable is added as the input parameter. The abnormal liquidity has a contemporary relationship with the abnormal return, and the effect on the abnormal return is better than all other variables, but it cannot be used as an important variable to predict the abnormal return. 3. The relationship between the abnormal stock returns and the abnormal search volume index is not obvious in this study. This result is different from the research results in the US stock market. However, this result does not mean that there is no such relationship in the Taiwan stock market, probably due to the small sample size of this study.