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What are you searching for? On the equivalence of proxies for online investor attention

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  • Behrendt, Simon
  • Prange, Philipp

Abstract

Google searches for stock tickers and company-specific Wikipedia searches may provide reasonable proxies for latent investor attention that are easily accessible for both researchers and practitioners. We draw upon Shannon transfer entropy, a model-free measure that detects any statistical dependence between time series and allows us to infer the dominant direction of the information transfer, to investigate if these different online search queries provide equivalent proxies for online investor attention. Our results show that this is not the case when considering information-theoretical arguments. Moreover, some of the detected bi-directional information transfer is nonlinear.

Suggested Citation

  • Behrendt, Simon & Prange, Philipp, 2021. "What are you searching for? On the equivalence of proxies for online investor attention," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310554
    DOI: 10.1016/j.frl.2019.101401
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    More about this item

    Keywords

    Google; Wikipedia; Online investor attention; Information transfer;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G40 - Financial Economics - - Behavioral Finance - - - General

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