Investor attention and stock market activity: Evidence from France

The aim of this paper is to study the influence of investor attention on the French stock market activity and volatility. Following an original way, we construct a non-standard proxy of investor attention on the basis of investors' online search behavior exclusively provided by “Google insights for search”. We find that Google search volume is a reliable proxy of investor attention. Interestingly, we show that investor attention is strongly correlated to trading volume and is a significant determinant of the stock market illiquidity and volatility. Most importantly, this evidence is maintained even after controlling for the financial crisis effect.