Acta Univ. Agric. Silvic. Mendelianae Brun. 2017, 65, 2113-2121
Published online 2017-12-07

The Impact of Attention to News about Tax Changes on the Stock Market

Jolana Stejskalová

Department of Finance, Faculty of Business and Economics, Mendel University in Brno, Zemědělská 1, 613 00 Brno, Czech Republic

We approach to point out new direction of measurement the attention of the news related to changes in taxes by using the application Google Trends. The objective of the study is to extend literature that investigates the impact of the information’s search intensity provided by Google Trends on capital market. We show that increasing attention on tax changes measured by Google search decrease stock prices of the US companies listed on NASDAQ. Moreover, we focus on abnormal Google searches related to particular shocks. The study investigates the positive relationship between attention to news about tax changes and stock prices in a specific year. The cross-sectional analysis employs data from 2004 and 2005. At that time, President George Bush enacted tax breaks for overseas corporate profits, which had a great impact on search intensity within the period. Additionally, we differentiate between market capitalisation by using the dummy variables to put on the role changes of probability on selected datasets. The results confirmed higher impact of attention on large cap companies and point out the importance of sentiment analysis at liquid markets.


This research was funded by the Czech Science Foundation, grant No. 16-26353S “Sentiment and its Impact on Stock Markets”.


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