Pregled bibliografske jedinice broj: 1023180
Investor Attention and Risk Predictability: A Spillover Index Approach
Investor Attention and Risk Predictability: A Spillover Index Approach // Proceedings of the The 15th International Symposium on Operational Research / Zadnik-Stirn, Lidija ; Kljajić-Borštnar, Mirjana, Žerovnik, Janez ; Drobne, Samo ; Povh, Janez (ur.).
Bled, 2019. str. 423-428 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
CROSBI ID: 1023180 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Investor Attention and Risk Predictability: A Spillover Index Approach
Autori
Škrinjarić, Tihana ; Čižmešija, Mirjana
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
Proceedings of the The 15th International Symposium on Operational Research
/ Zadnik-Stirn, Lidija ; Kljajić-Borštnar, Mirjana, Žerovnik, Janez ; Drobne, Samo ; Povh, Janez - Bled, 2019, 423-428
ISBN
978-961-6165-55-6
Skup
15th International Symposium on Operations Research in Slovenia (SOR '19)
Mjesto i datum
Bled, Slovenija, 25.09.2019. - 27.09.2019
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
volatility prediction ; spillover index ; stock market ; Google search volume
Sažetak
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.
Izvorni jezik
Engleski
Znanstvena područja
Matematika, Ekonomija
POVEZANOST RADA
Ustanove:
Ekonomski fakultet, Zagreb
