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Google search intensity and its relationship with returns and trading volume of Japanese stocks

Author

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  • Takeda, Fumiko
  • Wakao, Takumi

Abstract

This study examines the relationship between online search intensity and stock-trading behavior in the Japanese market. The search intensity is measured by the search volume of company names on Google. Our sample consists of 189 Japanese stocks searched between 2008 and 2011. We find correlations with search intensity that are strongly positive for trading volume and weakly positive for stock returns. Our results are consistent with the notion that the increase in search activity is associated with increases in trading activity, but the probability that this increase in trading raises stock prices is not high.

Suggested Citation

  • Takeda, Fumiko & Wakao, Takumi, 2014. "Google search intensity and its relationship with returns and trading volume of Japanese stocks," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 1-18.
    • Handle: RePEc:eee:pacfin:v:27:y:2014:i:c:p:1-18
    DOI: 10.1016/j.pacfin.2014.01.003
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    More about this item

    Keywords

    Investor sentiment; Attention: stock price; Trading volume; Behavioral finance;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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