This study attempts to identify the impact of investor's attention which is surrogated by the search engine query data on the internet using Google on returns and liquidity. The data used in this study is extracted from Google Trend data set, and hand-collected data from the Indonesia Capital Market Directory (ICMD). By employing panel data analysis, our results show that search engine query data (information retrieval) by using the internet (Google) is clearly an important method of attenuating the level of asymmetry information between the informed and UN-informed investors. Moreover, the utilization of microeconomic factors such as financial or non-financial information that can be easily obtained from the annual reports are strongly useful in helping investors preparing their portfolio of investment. Meanwhile, the macroeconomics factors such as inflation, interest rate, exchange rate, and GDP are the country-level effect which results in either positive or negative impact on returns and liquidity. By employing 83 samples and six years time period of observation, we infer that information retrieval through the search engine query data on the internet, macroeconomics factors and microeconomics factors are strongly and significantly related to returns and liquidity in the Indonesia stock exchange.

中文翻译：

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搜索引擎查询数据是否有助于回报和流动性？

本研究试图通过使用谷歌的互联网上的搜索引擎查询数据来确定投资者注意力对回报和流动性的影响。本研究中使用的数据来自谷歌趋势数据集，以及来自印度尼西亚资本市场目录 (ICMD) 的手工收集数据。通过面板数据分析，我们的结果表明，使用互联网（谷歌）搜索引擎查询数据（信息检索）显然是减弱知情投资者和不知情投资者之间信息不对称程度的重要方法。此外，利用可以从年度报告中轻松获得的财务或非财务信息等微观经济因素，对于帮助投资者准备投资组合非常有用。同时，通货膨胀、利率、汇率和GDP等宏观经济因素是国家层面的影响，对回报和流动性产生正面或负面影响。通过使用 83 个样本和 6 年时间段的观察，我们推断通过互联网上的搜索引擎查询数据进行信息检索，宏观经济因素和微观经济因素与印度尼西亚证券交易所的回报和流动性密切相关。