engleski

Investor Attention and Risk Predictability: A Spillover Index Approach

This paper observes shock spillovers between realized volatility and Google search volume regarding the DAX stock index in the period from January 2004 to April 2019. In that way, a dynamic relationship is estimated between DAX risk and search volume. The search volume variable is interpreted as the investor’s attention towards the stock market index. Results indicate that a bidirectional time varying relationship is found. This means that potential users of search volume in forecasting the DAX risk should take into account the bidirectional causality.

volatility prediction ; spillover index ; stock market ; Google search volume

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