ISSN: 1019-7044
Volume 50, No. 1, June 2025
Published: November 2025
Pages: 120-150
Doi: http://doi.org/10.64204/BP1019-7044/50(1)/A20252
Shaikh Masrick Hasan, Priya Saha
This study analyses the impact of investor attention on the stock returns of non-life insurance firms in Bangladesh, utilizing company-specific and macroeconomic factors as control variables. This study employs 1,360 quarterly observations from 34 publicly traded non-life insurance companies spanning 2014 to 2023, using Feasible Generalized Least Squares and Panel Corrected Standard Errors models to tackle panel data challenges, including heteroscedasticity and cross-sectional dependence. The results indicate that investor attention, quantified through the Google Search Volume Index, substantially affects stock returns. This indicates that observing investor behaviour and public interest can improve investing strategies and market forecasts. Return on assets, net profit margin, and firm age exhibit favorable connections with stock returns, although firm size negatively affects them. Macroeconomic variables, including inflation and GDP growth, correlate negatively with stock returns, whereas the exchange rate demonstrates a favorable influence. This study enhances the literature by integrating investor behavior with fundamental and macroeconomic variables within the insurance industry of an emerging market, providing significant insights for investors and policymakers.
JEL Classification: G22, E44, C33
Keywords: Investor Attention , Google Search Volume Index , Panel Data , Macroeconomic Variables , Insurance , Bangladesh
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