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Can digital economic attention spillover to financial markets? Evidence from the time-varying Granger test
Journal of Digital Economy ; 2022.
Article in English | ScienceDirect | ID: covidwho-2105321
ABSTRACT
The digital economy is pervasive, all-encompassing, and a pan-industrial revolution. This paper pioneers constructing a digital economy concern index by extracting the web search volumes of keywords through crawler technology and analyzes the dynamic causal relationship with the Chinese stock markets via time-varying Granger tests. The results reveal that digital economy attention has a significant predictive effect on stock prices in a time-varying pattern and that the causal spillover varies across industry segments, with higher success rates and longer duration of causal detection under recursive algorithms. Moreover, the causal impact of digital economy attention on stock prices is generally limited in sluggish market states, mainly reflected during the COVID-19 pandemic and again after the epidemic had passed for some time with significant causality. This paper provides new evidence and analytical perspectives on the performance of the digital economy in financial markets, informing the digital transformation of various industries and investment decisions of investors.
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Full text: Available Collection: Databases of international organizations Database: ScienceDirect Type of study: Prognostic study Language: English Journal: Journal of Digital Economy Year: 2022 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: ScienceDirect Type of study: Prognostic study Language: English Journal: Journal of Digital Economy Year: 2022 Document Type: Article