本文旨在觀察Google搜尋量指數在台股市場（0050）是否為一合適之投資人關注度代理變數，透過將搜尋量強度分組，以觀察當搜尋強度越強，是否進而造成投資人在了解個股後進入股市進行買賣交易，並產生股票異常交易量及超額異常報酬之情形。根據研究結果顯示，當投資人對個股之搜尋強度越強，則股票異常交易量越大，顯示投資人會藉由線上搜尋了解個股，進而進入股市交易；另外，觀察股票異常報酬，則出現搜尋量愈強異常報酬愈負之現象，與過去文獻在S&P 500 及Russell 3000之正向發現截然不同，由於考量散戶較容易產生不理性的投資行為，因此當投資人對未來投資環境存在不同預期，都可能造成在搜尋資訊後產生不同的交易行為，因此加入未來半年投資股票時機此變數，觀察在不同投資環境的預期下，大量資訊的搜尋，是否推升不同買賣交易行為。由回歸結果發現無論當投資人對未來半年股市投資時機看壞或看好，皆會藉由大量線上個股資訊的蒐集，影響其投資行為，並造成股價產生異常負報酬，探究原因為當投資人對未來市場不看好時，線上搜尋行為會導致過度恐慌，造成大量出脫持股，產生股票低價停滯；而對未來投資市場看好時，線上資訊的蒐集則會造成投資人過度樂觀，導致追高股價，甚至可能產生惜售情形而被套牢，以致搜尋行為反而無助於投資人獲得異常正報酬。最後，當檢測較難套利的股票，股票報酬對搜索強度的敏感性是否越高，則發現台股市場（0050）未有如Joseph et al. (2011)所言之現象發生。綜合上述，本研究認為Google搜尋量指數在台灣股市確實能影響投資人之股市操作行為，為一合適之投資人關注度代理變數。

The purpose of this paper is to observe whether the Google search volume index can serve as a valid proxy for investor sentiment in Taiwan stock market.
In the empirical work, I sort the sample of Taiwan's top 50 firms into four quartiles based on the search intensity from previous month in order to examine whether the increases in search intensity indeed foreshadow the abnormal returns and abnormal trading volume. According to the results, the increases in search intensity will generate abnormal trading volume, however, it generates more negative abnormal return instead. Considering that retail investors are more likely to have irrational investment behaviors, when investors have different expectations about the future investment environment, they may have different trading behaviors after searching for the stock information. Thus, I further add the opportunity to invest stocks in the next six months as a basis for grouping to further verify whether the correlation of search intensity and abnormal return will lead to different results under different expectations for the future investment environment. The result shows that no matter if it is under an optimistic or pessimistic situation for the future investment environment, the more of the search intensity will lead to a worse abnormal return. Last, in the hypothesis that the sensitivity of returns to search intensity will be lowest for easy-to-arbitrage stocks, the result didn’t show the same evidence as Joseph et al. (2011) said.

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