Public Attention and Macro Variable Influence on the Return of Ceramics Industry in Bangladesh A Panel Data Analysis (2015–2024)

This study examines how public attention and selected macroeconomic variables jointly affect the stock returns of ceramics firms listed on the Dhaka Stock Exchange (DSE) in Bangladesh over the period 2015 to 2024. Public attention is measured using Google Trends search volume data, which serves as an accessible and widely used proxy for investor interest in a given sector. The macroeconomic variables selected for this study are total reserves as a percentage of external debt, the interest rate spread (lending rate minus deposit rate), and market capitalization as a percentage of GDP. These variables were chosen based on their theoretical relevance to equity market performance in Bangladesh and their consistent use in the empirical literature on frontier and emerging markets. All five ceramics firms listed on the DSE with complete data for the full period are included, yielding a balanced panel of 60 firm-year observations. Prior to estimation, all variables were subjected to a two-step normalization process, and a series of diagnostic tests were conducted to verify normality, detect heteroscedasticity, assess multicollinearity, and test for cross-sectional dependence. The Hausman specification test supported the use of a Random Effects Generalized Least Squares (GLS) model with an AR(1) autocorrelation structure. The results show that total reserves relative to external debt have a statistically significant positive effect on stock returns (β = 0.021, p = 0.006). The interest rate spread has a marginally significant negative effect (β = −0.126, p = 0.052). Google Trends and market capitalization show directional effects that are consistent with theory but do not reach statistical significance. These findings suggest that macroeconomic fundamentals, particularly indicators of financial stability, are more important than online search-based attention in explaining stock return variation within Bangladesh’s ceramics sector. This study is among the first to jointly examine internet-based public attention and macroeconomic drivers of stock returns within a single frontier market manufacturing sub-sector