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

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dc.contributor.authorGonzález Sánchez, Mariano
dc.date.accessioned2024-05-20T11:24:18Z
dc.date.available2024-05-20T11:24:18Z
dc.date.issued2021
dc.description.abstractPurpose – 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 volumeen
dc.description.versionversión publicada
dc.identifier.doihttps://doi.org/10.1108/RBF-01-2020-0011
dc.identifier.issn1940-5979
dc.identifier.urihttps://hdl.handle.net/20.500.14468/11907
dc.journal.issue2
dc.journal.titleReview of Behavioral Finance
dc.journal.volume13
dc.language.isoen
dc.publisherEmerald Insight
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0
dc.subject.keywordsInternet searching
dc.subject.keywordsFinancial market
dc.subject.keywordsSpillover
dc.subject.keywordsCausality
dc.titleThe influence of Google search index on stock markets: an analysis of causality in-mean and variancees
dc.typejournal articleen
dc.typeartículoes
dspace.entity.typePublication
relation.isAuthorOfPublication1801f9f2-5927-4817-a82f-3baa664d18e1
relation.isAuthorOfPublication.latestForDiscovery1801f9f2-5927-4817-a82f-3baa664d18e1
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