本研究使用 Google 提供的搜尋量指標（Google Search Volume Index）做 為資訊需求的代理變數，探討投資人的網路搜尋行為對其股票交易活動的影 響，尤其是投機交易活動如融資、融券、當沖等交易活動的影響。實證結果發 現：(1)、Google 搜尋量指標與散戶投資人的股票交易量之間具有正向關係， 可能因為散戶投資人具有資訊不足(uninformed)的特性，而造成其使用網路搜 尋取得投資相關資訊的需求較高。(2)、隨著 Google 搜尋量指標的增加，融資、 當沖等投機交易活動亦增加，顯示管理當局或可透過觀察 Google 搜尋量指標 的變動，來預測股票市場上投機交易活動的變化。

Investors nowadays can utilize search engines to collect information from Internet before trading. Although prior studies have extensively investigated the impact of information flow on the capital market, the influence of information collected from web sites on stock trading activity is relatively unexplored. Using search volume on Google as a proxy for information demand, this paper aims to fill up the gap. Specifically, this research extends prior studies to investigate the role of information demand in stock trading activities, focusing on speculative ones, such as margin buying, short selling, and day trading. The evidence shows that rises in Google search volume are positively associated with trading volumes by individual investors, margin purchase, and day trading. These findings support the following hypotheses: (1) individuals, being uninformed, have a greater demand for information; (2) with more information collected from web sites, more investors engage in speculative activities. Overall, these findings imply that market administrators can predict trading activities of individual investors by observing changes in Google search volume.

This study employs the Search Volume Index (hereafter SVI) provided by Google as a proxy of information demand to investigate the influence of investors’ web search behavior on their speculative trading activities. The empirical results show that the speculative trading activities such as margin purchase and day trading increase after SVI rises, indicating a positive relationship between SVI and speculation in securities in Taiwan. It has been well-recognized that the speculative trading activities have a positive impact on market liquidity, market efficiency and stock price discovery. For instance, starting from September 2013, the Taiwan Stock Exchange Corporation (TWSE) removed the up-tick rule on margin trades and borrowed shares for all shares eligible for margin trading in order to improve the overall securities investment environment, enhance the market efficiency, and correspond to trends in the developed markets. The improvement does facilitate the stock trading volume and attract much needed capital to Taiwan’s security market. However, speculation is also blamed for some economic bubbles such as the financial crisis of 2008-2009. Therefore, how to balance between the financial stability and the efficiency of liquidity is high on the agenda of politicians and regulators. We find that margin trading and day trading activities increase after SVI rises, suggesting a predictive power of SVI to speculations in the Taiwan stock market. Market administrators can predict and manage speculative activities by observing changes in SVI to maintain the market stability and develop the nation’s economy. According to the attention theory of Barber & Odean (2008), stocks with more investor attention are likely to experience positive price pressures. Da et al. (2011b) use SVI as a novel and direct measure of investor attention, finding a positive relationship between SVI and stock returns. Our results confirm a positive relationship between SVI and the trading volume, which means that the liquidity of stocks with a large signed change in attention improves significantly. Therefore, from executive’s perspective, it might be beneficial to attract investors’ attention for increasing the liquidity and stock performance. Since SVI is viewed as a predictive measure of investor attention, executives could observe changes in SVI to notice investor attention towards company and the possible influence of attention on trading volume and stock return. In summary, Taiwan is a densely populated country with extremely high internet penetration rate, suggesting that investors in Taiwan may have more active web searching activities. Moreover, about 70% of trading volume in the Taiwan stock market comes from the individual investors, implying a higher possibility for investors in Taiwan stock market using the Internet to collect information before trading because individuals, being uninformed, have limited accesses to sophisticated information services. SVI, as a public index, provide policy makers, regulators and executives an easy access to observe the changes in investor attention as well as the possible shifts in stock price and liquidity.