Google search volume and its influence on liquidity and returns of German stocks

被引：196

作者：

Bank M. ^{[1
]}

Larch M. ^{[1
]}

Peter G. ^{[1
]}

机构：

[1] Department of Banking and Finance, University of Innsbruck, 6020 Innsbruck

来源：

Financial Markets and Portfolio Management | 2011年 / 25卷 / 3期

关键词：

Google insights; Stock liquidity; Stock returns; Trading activity;

D O I：

10.1007/s11408-011-0165-y

中图分类号：

学科分类号：

摘要：

We show that search volume on Google not only serves as an intuitive proxy for overall firm recognition, but also captures the attention of stock market investors. Our results suggest that an increase in search queries is associated with a rise in trading activity and stock liquidity. We attribute the improved liquidity to a reduction in asymmetric information costs and conclude that search volume primarily measures attention from uninformed investors. Moreover, we find evidence that an increase in search volume is associated with temporarily higher future returns, which reinforces our previous finding. © 2011 Swiss Society for Financial Market Research.

引用

页码：239 / 264

页数：25

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