Investor Attention and Stock Market Performance

Published: 03-03-2021| Version 1 | DOI: 10.17632/g295ksy3dv.1
Contributor:
Michael Asiedu

Description

This data is strictly related to the Ghanaian economy from September 2005 to December 2020. Monthly data on Inflation, Monetary aggregates (M1 and M2), monthly nominal growth in GDP, the monthly all shares composite index of the Ghana stock exchange and Google search volume. The data on Inflation, Monetary aggregates (M1 and M2) and monthly nominal growth in GDP were obtained from the official web page of the central bank of Ghana. The data on google search volume was also extracted from google trend on searches related to the Ghana stock exchange and listed companies. Main hypothesis and findings: This study examines the effect of active investor attention (Google Search Volume) and inflation on the stock market returns in Ghana for the period September 2005 - December 2019 (monthly data). Through cointegration and the VECM technique we established long run relationship among the variables. We also found positive and significant relationship between active investor attention (Google Search Volume), inflation, and equity returns in Ghana. The results from the VECM is further confirmed by ARCH and GARCH models as robustness check. Our findings confirm that in Ghana, equity serves as a hedge against inflation.

Files

Steps to reproduce

Through cointegration and the VECM technique we established long run relationship among the variables. and by ARCH and GARCH models as robustness check. Also employed STATA 16 for the regression analysis