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Fractional differencing in stock market price and online presence of global tourist corporations

Author

Listed:
  • Flores-Muñoz, Francisco

    (University of La Laguna, San Cristóbal de La Laguna, Spain)

  • Báez-García, Alberto Javier

    (Universidad de La Laguna, La Laguna, Spain)

  • Gutiérrez-Barroso, Josué

    (Universidad de La Laguna, La Laguna, Spain)

Abstract

This work aims to explore the behavior of stock market prices according to the autoregressive fractional differencing integrated moving average model. This behavior will be compared with a measure of online presence, search engine results as measured by Google Trends. Relationships between the two data sets are explored, with theoretical implications for the fields of economics, finance and management. Tourist corporations were analyzed owing to their growing economic impact. The estimations are initially consistent with long memory; so, they suggest that both stock market prices and online search trends deserve further exploration for modeling and forecasting. Significant differences owing to country and sector effects are also shown. This research contributes in two different ways: it demonstrates the potential of a new tool for the analysis of relevant time series to monitor the behavior of firms and markets, and it suggests several theoretical pathways for further research in the specific topics of asymmetry of information and corporate transparency, proposing pertinent bridges between the two fields.

Suggested Citation

  • Flores-Muñoz, Francisco & Báez-García, Alberto Javier & Gutiérrez-Barroso, Josué, 2019. "Fractional differencing in stock market price and online presence of global tourist corporations," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 24(48), pages 194-204.
    • Handle: RePEc:ris:joefas:0145
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    ARFIMA; Global corporations; Online search trends; Stock market behaviour;
    All these keywords.

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • Z10 - Other Special Topics - - Cultural Economics - - - General
    • Z32 - Other Special Topics - - Tourism Economics - - - Tourism and Development

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