ASVIAlien Status Verification Index (US INS)
ASVIAlien Status Verification Index
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where [[mu].sub.i] are firm fixed effects and [GOOGLE.sub.i,t] is one of the four variables based on search volume data, namely, CSI, General CSI, ASVI, or FEARS.
Only for the nonlife insurer do we find that including only ASVI in column (1) as explanatory variable yields a negative correlation that is significant at the 5 percent level.
The regressions of weekly insurer stock returns on CSI and ASVI lead to a similar conclusion: the two indicators of attention and sentiment are only a weak indicator of movements in stock prices in this specification.
To capture the lead--lag dynamics of insurers' stock return volatility and the idiosyncratic attention measures ASVI and CSI, we perform vector autoregressions (VARs).
Table 3 shows the results for the VAR analysis for volatility and ASVI (Panel A) and volatility and CSI (Panel B) for the full sample and for the subsamples of different insurer types.
From Panel A of Table 3, we see that lagged values of ASVI are statistically highly significant determinants of volatility for the full sample.
For life insurers, nonlife insurers, and reinsurers, we find no statistically significant relation between ASVI and volatility in either direction, confirming the insignificant correlations from Table 2.
However, different from the VARs with ASVI, we cannot infer a causal relation since higher volatility in one week leads to less attention in the next week and reverts in week 2.
To see in how far our results for insurers match these results, we run additional (pooled) vector autoregressions of volatility, ASVI, and CSI (as in Table 3) and panel regressions of volatility on lags of the General CSI (as in Table 4) for samples of banks and firms from the industrial sector.
Google ASVI Google SVI is the Good Search Volume Index, manually collected from Google Trend using company names.
As an active scholar in the pelurusan sejarah project, Asvi Warman Adam offers a response to many of Purwanto's charges.