Structural transmissions among investor attention, stock market volatility and trading volumes

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 United States, Kingdom German stock market. The two identification adopted for vector autoregressive analysis are based on independent component informational content disproportional variance changes. Our results show robust evidence that investors' affects both contemporaneously, whereas latter variables lack immediate impacts attention. Some movements can be traced back market sentiment.