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The Impact of Investor Attention on Trades and Market Performance of the Tehran Stock Exchange

Ahmadi, Parsa | 2024

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 57793 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Talebian, Masoud; Hagh Panah, Farshad
  7. Abstract:
  8. This research investigates the impact of public attention, measured using Google Trends data, on stock transactions in the Tehran Stock Exchange, with a distinction between retail and institutional investors. The primary objective of the study was to assess the relationship between public attention and the number, volume, and value of buy and sell transactions for these two groups of investors. Weekly data on Google search trends and trading variables for 486 stock symbols were analyzed. The findings revealed that public attention, particularly among retail investors, has a significant impact on stock transactions. This effect peaks with a one-week lag, supporting the hypothesis, consistent with prior studies, that retail investors rely more heavily on Google Trends data. Additionally, it was found that institutional investors' sales are more influenced by public attention compared to their purchases. This suggests that on days with heightened public attention, institutional investors are more actively engaged in selling stocks. Moreover, increased public attention positively affects the number, volume, and value of trades . This research offers insight into how public attention affects trading behavior, helping to understand market dynamics and guide policies and investments
  9. Keywords:
  10. Attention Mechanism ; Behavioral Finance ; Stock Market ; Search Engine Optimization (SEO) ; Retail Investors ; Institutional Investors ; Tehran Stock Exchange

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