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RETRACTED ARTICLE: Google Search Intensity and the Investor Attention Effect: A Quantile Regression Approach

Author

Listed:
  • Vighneswara Swamy

    (ICFAI Foundation for Higher Education)

  • M. Dharani

    (ICFAI Foundation for Higher Education)

Abstract

This paper investigates whether the investor attention effect caused by the Google stock search can be used to forecast stock returns. The evolving literature on Google search investor attention effect suggests that high Google search volumes can predict high returns for the first 1–2 weeks, but with a subsequent price reversal. We use a more recent data set that covers the period from 2012 to 2017 in the Indian stock market and employ the quantile regression approach as it alleviates some of the statistical problems to find that high Google search volumes lead to positive returns. Indeed, the high Google search volumes predict positive and significant returns in the subsequent third, fourth and fifth weeks. The Google search volume index performs as a better predictor of the direction as well as the magnitude of the excess returns. The findings infer that the signals from the search volume data could be of benefit construction of profitable trading strategies.

Suggested Citation

  • Vighneswara Swamy & M. Dharani, 2020. "RETRACTED ARTICLE: Google Search Intensity and the Investor Attention Effect: A Quantile Regression Approach," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(2), pages 403-423, June.
    • Handle: RePEc:spr:jqecon:v:18:y:2020:i:2:d:10.1007_s40953-019-00185-9
    DOI: 10.1007/s40953-019-00185-9
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    More about this item

    Keywords

    Stock returns; Google searches; Investor attention/sentiment; Trading strategies; Quantile regression;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • 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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