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- Title
Cannabis Stocks Returns: The Role of Liquidity and Investors' Attention via Google Metrics.
- Authors
Papadamou, Stephanos; Koulis, Alexandros; Kyriakopoulos, Constantinos; Fassas, Athanasios P.
- Abstract
This paper studies one of the most popular investment themes over recent years, investing in the cannabis industry. In particular, it investigates relationships between investor attention, as proxied by Google Trends, and stock market activities, i.e., return, volatility, and liquidity. To this end, in the empirical analysis we study how liquidity and investors' attention affect the return dynamics of an investment in cannabis stocks by augmenting the three-factor Fama–French model. In addition, we use a vector autoregressive approach and the impulse response function to measure shock transmission between the variables under consideration. Our empirical findings show that there is a statistically positive relationship between cannabis stock returns and liquidity. We also find that increased investors' attention results in higher returns.
- Subjects
MARKET sentiment; VOLATILITY (Securities); IMPULSE response; STOCK prices; MARIJUANA industry; LIQUIDITY (Economics); STOCK exchanges
- Publication
International Journal of Financial Studies, 2022, Vol 10, Issue 1, p7
- ISSN
2227-7072
- Publication type
Article
- DOI
10.3390/ijfs10010007