When Attention Moves Markets: Retail Search Behavior and Short-Term Market Dynamics in Sweden

Sammanfattning

This thesis examines the relationship between retail investor attention and short-term stock market dynamics in the OMXS30 on Nasdaq Stockholm. Using Google Search Volume Index data as a proxy for investor attention, the study analyzes whether abnormal search volume is associated with abnormal returns, changes in trading volume, and realized volatility in the Swedish large-cap market. The empirical analysis is based on a balanced panel of all OMXS30 firms observed weekly from January 2022 to March 2026. Three panel regression models are estimated with clustered standard errors, using fixed or random effects depending on model specification. The results show that abnormal search volume is more strongly related to trading volume and volatility than to abnormal returns. For abnormal returns, the evidence is conditional, as investor attention is positively associated with returns primarily when it coincides with positive recent momentum. By contrast, attention is positively associated with contemporaneous trading volume and realized volatility, while lagged attention effects are negative, indicating that attention shocks are immediate but short-lived. The study contributes to the literature by providing evidence from a Swedish large-cap setting and suggests that search-based retail attention is more useful for understanding market activity and short-term instability than for explaining abnormal returns.