Structural transmissions among investor attention, stock market volatility and trading volumes
采用数据驱动方法，识别美国、英国和德国股市中投资者关注（基于谷歌搜索量）、已实现波动率和交易量之间的结构性冲击传导，发现投资者关注会同时影响波动率和交易量，但反之不成立。
Abstract We employ data‐based approaches to identify the transmissions of structural shocks among investor attention measured by Google search queries, realised volatilities and trading volumes in the United States, the United Kingdom and the German stock market. The two identification approaches adopted for the structural vector autoregressive analysis are based on independent component analysis and the informational content of disproportional variance changes. Our results show robust evidence that investors' attention affects both volatilities and trading volumes contemporaneously, whereas the latter two variables lack immediate impacts on investors' attention. Some movements in investors' attention can be traced back to market sentiment.