The influence of Google search index on stock markets: an analysis of causality in-mean and variance

González-Sánchez, Mariano . (2021) The influence of Google search index on stock markets: an analysis of causality in-mean and variance. .Review of Behavioral Finance, 13(2), 202-226

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Título The influence of Google search index on stock markets: an analysis of causality in-mean and variance
Autor(es) González-Sánchez, Mariano
Materia(s) Economía
Abstract Purpose – This empirical work studies the influence of investors’ Internet searches on financial markets. Design/methodology/approach – In this study, an asset pricing model with six factors is used, and autoregression, heteroscedasticity and moving average are taken into account to extract the independent shocks of each variable. Subsequently, a causality in-mean and in-variance analysis is performed to test the influence of Google searches on financial market variables, specifically, to test whether there is an influence on the idiosyncratic returns of financial assets. Findings – Unlike most of the literature, the results show that Google searches on the name of listed companies have little influence on the trend and volatility of asset returns. On the contrary, these searches are shown to have a significant influence on trading volumes in the following week. Practical implications –When analyzing specific effects, such as the influence of Internet searches, on financial markets, it is necessary that the model must include financial properties (asset valuation models) and statistical characteristics (stylized facts); otherwise, the empirical results could be inconsistent, since, among other issues, statistical findingsmaynot be robust given autocorrelation and heteroscedasticity, and if an asset valuationmodel is not considered, the specific effect analyzed could simply be an indirect effect of a risk factor excluded from the model. Originality/value – The empirical evidence shows that individual investors using Google have a significant influence on volume only so that institutional investors using other sources of information drive market prices. This means that potential investors should only be interested in the Internet searches index if their interest is focused on trading volume
Palabras clave Internet searching
Financial market
Spillover
Causality
Editor(es) Emerald Insight
Fecha 2021
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0012
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0012
DOI - identifier https://doi.org/10.1108/RBF-01-2020-0011
ISSN - identifier 1940-5979
Nombre de la revista Review of Behavioral Finance
Número de Volumen 13
Número de Issue 2
Página inicial 202
Página final 226
Publicado en la Revista .Review of Behavioral Finance, 13(2), 202-226
Idioma eng
Versión de la publicación publishedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by-nc-nd/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales The registered version of this article, first published in Review of Behavioral Finance, is available online at the publisher's website: Emerald Insight, https://doi.org/10.1108/RBF-01-2020-0011
Notas adicionales La versión registrada de este artículo, publicado por primera vez en Review of Behavioral Finance, está disponible en línea en el sitio web del editor: Emerald Insight, https://doi.org/10.1108/RBF-01-2020-0011

 
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Creado: Wed, 06 Mar 2024, 19:30:20 CET