محمود جواهری ذاکر

Processing information or learning by investors is a general and broad term, and defining it in detail is challenging. This study examines the impact of investor, attention indicators, including Google search volume and news search on various aspects of the Iranian stock market using data from the first quarter of ۲۰۱۸ to the first quarter of ۲۰۲۲ and the Generalized Method of Moments (GMM). The main objective of the research is to evaluate the effect of these indicators on trading volume, stock returns, and price volatility. The results show that Google search volume, with a coefficient of ۰.۰۷, and news search, with a coefficient of ۰.۳, have a positive and significant impact on trading volume, with news having a stronger effect. Regarding stock returns, Google search volume, with a coefficient of ۰.۲, and news search, with a coefficient of ۰.۰۳, both have a positive effect. Price volatility is also influenced by these indicators; trading volume, with a coefficient of ۰.۰۵, and Google search volume, with a coefficient of ۰.۰۱, have a positive impact on price volatility, while news search, with a coefficient of -۰.۰۱, has a negative effect. Additionally, the results indicate that price volatility and stock returns have a positive impact on trading volume. These results suggest that investor attention indicators significantly affect stock market behavior and can be used as forecasting tools in investment decision-making.