We employ data-based approaches to identify the transmissions of structural shocks among investor attention measured by Google search queries, realised volatilities and trading volumes in the United States, the United Kingdom and the German stock market. The two identification approaches adopted for the structural vector autoregressive analysis are based on independent component analysis and the informational content of disproportional variance changes. Our results show robust evidence that investors' attention affects both volatilities and trading volumes contemporaneously, whereas the latter two variables lack immediate impacts on investors' attention. Some movements in investors' attention can be traced back to market sentiment.

中文翻译：

---

投资者注意力、股市波动和交易量之间的结构性传导

我们采用基于数据的方法来识别结构性冲击在投资者注意力中的传递，这些影响通过谷歌搜索查询、美国、英国和德国股市的实际波动率和交易量来衡量。结构向量自回归分析采用的两种识别方法是基于独立成分分析和不成比例方差变化的信息内容。我们的研究结果表明，投资者的注意力同时影响波动率和交易量，而后两个变量对投资者的注意力缺乏直接影响。投资者注意力的一些变动可以追溯到市场情绪。