Google search intensity and the variation of excess return in Thai stocks

Name: Parsiri Suthiyuth

keyword: Investor attention

; Online search intensity

; Price pressure

; Abnormal return

; Abnormal trading volume

; Stock return

; Thai stock market

Abstract: The research investigates the relationship between search frequency, abnormal return, stock return and trading volume in Thai Stock Market. Our observations consist of 236 listed stocks in the Stock Exchange of Thailand; cover the period from January 2008 through June 2018. The online search is based on the ticker of the company name. The main finding supports the price pressure hypothesis that is the search intensity does significantly affect on the abnormal return and abnormal trading volume.

Thammasat University. Thammasat University Library

Address: BANGKOK

Email: preserv@tu.ac.th

Name: Wasin Siwasarit

Role: advisor

Created: 2018

Modified: 2021-03-23

Issued: 2021-03-23

วิทยานิพนธ์/Thesis

application/pdf

DOI: 10.14457/TU.the.2018.536

eng

DegreeName: Master of Science

Level: Master's Degree

Descipline: Finance

Grantor: Thammasat University

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