The study shows critical roles of firm-specific information on herd behavior, which is underexplored in prior literature, albeit an increasing impact of firm-specific information on asset pricing. The main finding demonstrates that three of four selected measures of firm-specific information...

Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI–stock market activities...

This paper examines the causal relationship between global stock market performance and Google search volume index (SVI) surrounding the disastrous event of the coronavirus (COVID-19) outbreak. Based on 6,106 stock index-day observations of 71 countries during the period from 1 January 2020 to...

This paper investigates the relationship between aggregate market herding and investor attention in seven selected equity markets over the period of 2004-2019. The multinomial logistic regression employed in this study provides a more direct, comprehensive, and straightforward test than other...