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Google search volume index and investor attention in stock market: a systematic review

Author

Listed:
  • María José Ayala

    (Catholic University of Murcia)

  • Nicolás Gonzálvez-Gallego

    (Catholic University of Murcia)

  • Rocío Arteaga-Sánchez

    (University of Seville)

Abstract

This study systematically reviewed the literature on using the Google Search Volume Index (GSVI) as a proxy variable for investor attention and stock market movements. We analyzed 56 academic studies published between 2010 and 2021 using the Web of Sciences and ScienceDirect databases. The articles were classified and synthesized based on the selection criteria for building the GSVI: keywords of the search term, market region, and frequency of the data sample. Next, we analyze the effect of returns, volatility, and trading volume on the financial variables. The main results can be summarized as follows. (1) The GSVI is positively related to volatility and trading volume regardless of the keyword, market region, or frequency used for the sample. Hence, increasing investor attention toward a specific financial term will increase volatility and trading volume. (2) The GSVI can improve forecasting models for stock market movements. To conclude, this study consolidates, for the first time, the research literature on GSVI, which is highly valuable for academic practitioners in the area.

Suggested Citation

  • María José Ayala & Nicolás Gonzálvez-Gallego & Rocío Arteaga-Sánchez, 2024. "Google search volume index and investor attention in stock market: a systematic review," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-29, December.
    • Handle: RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00606-y
    DOI: 10.1186/s40854-023-00606-y
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