Risk Aversion and Economic Policy Uncertainty Impacts on Investor Attention: Evidence From International Stock Markets Indices

This paper examines the relationship between economic policy uncertainty, risk aversion, and investors' attention for 15 equity indices across Asia, Europe, and North America. Our empirical results indicate that both risk aversion and economic uncertainty significantly increase the Google Search Volume across all equity indices. Additionally, we employed a Bayesian Panel VAR Model to explore causal relationships between risk aversion and investor attention. The impulse response analysis reveals that a positive shock in variance risk premium consistently triggers an increase in Google Search Volume across stock markets over the following month. These findings suggest that during periods marked by high economic policy uncertainty and elevated risk aversion, investors intensify their internet searches to acquire more specific information about stock indices.