Google search volume, stock liquidity, and return volatility: evidence from Vietnamese commercial banks
An Nguyen Thien Doan, Thong Le Pham, Duy Phan Khanh NguyenPurpose
This study examines how Google Search Volume (GSV) for brand names and stock tickers is associated with stock liquidity and return volatility, using weekly data from Google Trends and stock market data of Vietnamese commercial banks from July 2021 to June 2024.
Design/methodology/approach
The study applies the two-stage least squares (2SLS) estimation with panel data to control for the fixed effects of banks and address the potential endogenous problems of the return volatility.
Findings
The GSV of banks’ names is negatively associated with return volatility, whereas the GSV of stock tickers is positively associated with both stock liquidity and return volatility. Additionally, the COVID-19 stringency index is associated with higher liquidity and volatility.
Originality/value
This study is the first to examine the association between GSV and the liquidity and volatility of Vietnamese commercial banks’ stocks. Unlike prior studies that rely on lagged explanatory variables to address the endogeneity, this study applies the 2SLS regression to more rigorously address this concern. Robustness tests further support the efficiency and consistency of the 2SLS specification across alternative instrument choices and model specifications. Our findings reinforce the effectiveness of GSV as a reliable proxy for investor attention.