現在的投資人在進行股票交易前可以利用搜尋引擎從網路上收集資訊。本研究運用Google 搜尋量指標(Search Volume Index)做為代理變數， 旨在闡明網絡搜尋行為和資本市場中交易活動之間的關係。研究結果表明，擁有較多網路搜尋量的投資組合具有較高的股票報酬和Jensen's alpha.。異常的網路搜尋量更可用以預測較高股票報酬。網路搜尋量並和散戶投資人、信用交易、當沖的成交量呈現正相關。總體而言，這些研究結果意味著：通過觀察在網路搜尋量的變化，市場管理者可以預測散戶投資人的交易活動。此外，中介分析的結果顯示，網際網路和財經媒體所捕捉到的投資人注意力來自不同群體。網際網路和財經媒體皆顯著影響股票報酬，但在金融危機期間，其影響顯得微弱並不顯著。

Investors nowadays can utilize search engines to collect information from the Internet before trading. Using Google Search Volume Index as a proxy, this study aims to elucidate the link between the web search behavior of investors and trading activities in the capital market. Our findings indicate that firms in portfolios with more Google search volume possess higher stock returns and Jensen's alpha. Abnormal increases in Google search volume can predict higher future stock returns. Rises in Google search volume are positively associated with trading volumes by individual investors, margin purchase, and day trading. Overall, these findings imply that market administrators can predict trading activities of individual investors by observing changes in Google search volume. Moreover, the mediation analysis indicates that the Internet and financial media probably capture investor attention from different groups. They both significantly affect stock returns, but their impacts appear to be weak and insignificant during financial crises.

TABLE OF CONTENTS
List of tables iv
List of figures v
Chapter 1. Introduction 1
Chapter 2. Theorectical Foundation and Literature Review 7
1. Information Theory 7
2. The Attention Theory 12
3. Influence of InterneT 17
4. The Impact of Information On trading Activity 19
5. Google Search Volume Index 22
6. Individual Investors 24
7. Speculative activity 26
Chapter 3. Sample Construction 27
1. Data on Capital Markets 27
2. Data on Web Search Activities 29
3. Stock Characteristics across SVI Quartiles 35
Chapter 4. Empirical Findings 40
1. Information Demand and Individual Investors 40
2. Information Demand and Trading Activities 44
4. The Role of Investor Attention in Typical Asset Pricing Models 50
5. The Predictive Power of ASVI for Stock Returns 53
6. Revisiting the Size Effect 55
7. Subperiod Analysis - The Effect of Market States 59
8. Robust Analysis 62
9. Mediation Analysis 66
Chapter 5. Conclusion 69
bibliography 73

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