Purpose This study aims to examine the relationship between digital transformation search volume and stock returns in the Vietnamese stock market. Design/methodology/approach The authors collected weekly data from Google Trends and vn.investing.com, spanning from week 33 of 2019 to week 32 of 2023. Using this data set, the authors used various quantitative approaches, including VAR-Granger, Ordinary Least Squares (OLS) and Copula, to test the relationships between variables. Findings The results obtained from VAR-Granger analysis reveal a unidirectional causality from digital transformation search volume to the stock returns of VN-Index, VN-30 and VN-100. Findings from the OLS indicate a negative lagged impact of search volume on digital transformation for stock returns. Moreover, using the Copula approach, the authors determine that the structural dependency between the search volume for digital transformation and the VN-Index follows a normal distribution. This suggests that simultaneous positive and negative changes between the variables are equally likely to occur. Research limitations/implications The study is meaningful further research. Practical implications The study is meaningful for stakeholders: investors and policymakers. Originality/value By offering these insights, this paper contributes to a deeper understanding of the relationship between digital transformation and firm performance within the stock exchange market.
Phạm et al. (2026) studied this question.