| Summary: | 碩士 === 逢甲大學 === 財務金融學系 === 105 === This study investigates the impact of investor attention on the Taiwan Exchange Traded Funds (ETF) weekly return. We adopt Search Volume Index provided by Google Trends as investor attention. ETF, after listed in 2003, became a new choice for investment allocation. Because of the characteristics of passive tracking index, investors can find opportunity to enter by only following the index. In addition, Taiwan retail investors have been maintained at about 50%, more than foreign markets, and the use of Google search is up to 80%, making the impact of investor attention cannot be ignored.
The results show that the relationship between investor attention and ETF weekly return is significant. The change of investor attention will short-term impact weekly returns, while the investor attention will long-term change by the shock of weekly returns. And we find that an increase in investor attention will diminish return predictability, which means that the more investor attention makes the market more efficient.
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