The effects of information demand on Vietnam’s stock volatility the effects of information demand on Vietnam’s stock volatility

Abstract

Information demand plays a vital role in the current 4.0 technology arena. However, its effects on market volatility have largely been neglected in an emerging market such as Vietnam. This study examines the effects of information demand on Vietnam’s stock market volatility. The information demand is measured by the search volume of the company names and the market index on Google. Our analysis uses the ARMA (1,1) - GARCH (1,1) model to estimate market volatility for each stock in our sample. We use a sample of 56 Vietnamese listed stocks, which are included in Vietnam's top 100 listed firms for the 2017 – 2021 period. Our empirical findings confirm the effects of information demand on stock market volatility in Vietnam. These findings are consistent with the notion that an increase in demand for information at the firm and market-level is associated with an increase in stock price volatility. In addition, we find that the search volume index (SVI) based on the market index provide a more significant effect on large listed companies’ volatility compared with small listed companies in Vietnam. We also find that firm-specific SVI has a more significant impact on market volatility from small listed companies. Meanwhile, our empirical analyses also confirm that the impacts of the SVI on high-priced stocks are more significant than the low-priced stocks in Vietnam.