Akademik Veri Yönetim Sistemi
Tezin Türü: Yüksek Lisans
Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Uygulamalı Matematik Enstitüsü, Finansal Matematik Anabilim Dalı, Türkiye
Tezin Onay Tarihi: 2022
Tezin Dili: İngilizce
Öğrenci: ABDULLAH EFE GÜL
Danışman: Seza Danişoğlu
Özet:
This thesis proposes two new measures of investor attention: Search
Traffic (ST) and Click Per Search (CPS). These two measures as well as the
commonly used Google Search Volume Index (SVI) measure are constructed by
optimizing the number of keywords while using a search engine optimization. ST
is measured based on financial website URLs without using any search keyword
and is a direct measure of investor attention. The relationships between
investor attention and stock market activities consisting of return and
volatility are investigated for the Dow Jones Index (DJI) and its constituent
stocks. The study provides robust evidence that attention has significant and
asymmetric impact on index returns as well as excess returns. It has
significant and negative influence on returns under bearish conditions while
significant and positive effect during bullish conditions. Attention is also a
significant driver of both index and stock volatility such that volatility
increases following an increase in attention. In addition, investors respond to
price reversals more quickly compared to positive index returns. Observations
on CPS suggest that the more investors search for a financial keyword, the less
they click on financial websites per searched keyword.