Google搜尋趨勢指數對臺灣股市大型公司之影響

The Google Search Volume Index Impacts on the Larger Companies in Taiwan Stock Market

本文利用10年資本額百億以上之臺灣上市公司組成緃橫資料，研究Google搜尋趨勢指數及其分別與成交量、股價淨值比、股價盈餘比交互作用對股票報酬之影響。研究發現(1)前5年之樣本股票報酬與風險較後5年之樣本低，且受系統性風險影響程度低；(2)後5年之樣本較前5年之樣本股市成交量放大且Google搜尋趨勢指數上升；(3) Google搜尋趨勢指數正向顯著影響股票報酬，亦帶動成交量推升股價；(4)Google搜尋趨勢指數與股價盈餘比交乘項，對股票報酬產生後5年正向顯著影響之反轉現象；(5)Google搜尋趨勢指數做為投資人情緒之代理變數，對股價報酬率有正向顯著影響，有助於價格發現。

This paper uses the panel data to estimate the influence of the Google Search Volume Index on stock returns and the interaction with trading volume, price-to-book ratio and price-to-earning ratio of listed companies in Taiwan with a capital of more than 10 billion in the past decade. The study found that (1) The sample stock returns and risks in the first 5 years were lower than those in the latter 5 years, and were less affected by systemic risk; (2) The stock market turnover in the latter 5 years was larger than that in the first 5 years, and the Google Search Volume Index increased; (3) The Google search trend index has a positive and significant impact on the stock return, and also drives the trading volume to push up the stock price; (4) The multiplication of the Google Search Volume Index and the price-earnings ratio has a positive effect on the stock return after 5 years. The phenomenon of reversal to significant influence; (5) The Google Search Volume Index as a proxy variable of investor sentiment has a positive and significant impact on the stock price return, which is helpful for price discovery.