Predictive power of web search behavior in five ASEAN stock markets

• Main Authors: Imitiaz, M. S. *, Mohd Thas Thaker, Hassanudin *
• Format: Article
• Published: Elsevier 2020
• Subjects: HF Commerce
• Online Access: http://eprints.sunway.edu.my/1392/; http://doi.org/10.1016/j.ribaf.2020.101191

This paper investigates the predictive ability of web search behavior in connection with stock market returns and trading volume in five emerging economies in the ASEAN region using econometric and signal-processing techniques. More specifically, we use Vector Error Correction Model in conjunction w...