Cường độ tìm kiếm trên Google và thị trường chứng khoán Việt Nam: Sự chú ý hay sự không chắc chắn?

Abstract

This study examines whether the Google search volume reflects investor attention or uncertainty in the Vietnamese stock market by testing two competing hypotheses within a unified framework. Using weekly panel data from 88 HOSE-listed stocks over the period from 2019–2023, we apply the Fama-French five-factor model with lagged variables to capture short-term behavioral responses. The findings indicate that search volume positively affects stock returns in the current week but has a negative effect one week later, supporting the investor attention hypothesis. Robustness is confirmed through subsample analyses by firm size and post-COVID-19 interaction. The results suggest that Google search volume primarily reflects attention-driven behavior rather than uncertainty, and may serve as a behavioral indicator for market monitoring in frontier markets.