Abstract

http://ssrn.com/abstract=1666763
 
 

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Google Search Volume and its Influence on Liquidity and Returns of German Stocks


Matthias Bank


University of Innsbruck

Martin Larch


University of Innsbruck

Georg Peter


University of Innsbruck

August 27, 2010

Financial Markets and Portfolio Management, Vol. 25, No. 3, pp. 239-264, 2011

Abstract:     
We show that the search volume on Google not only serves as an intuitive proxy for overall recognition in a firm, but also captures the attention of stock market investors. Our results suggest that an increase in search queries is associated with a rise in trading activity and stock liquidity. We attribute the improved liquidity to a reduction in asymmetric information costs and conclude that the search volume primarily measures the recognition of uninformed investors. Moreover we find evidence that an increase in search volume is associated with temporarily higher future returns, which reinforces our previous finding.

Number of Pages in PDF File: 30

Keywords: Google Insights, stock liquidity, trading activity, stock returns

JEL Classification: G12, G14

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Date posted: August 28, 2010 ; Last revised: August 4, 2011

Suggested Citation

Bank, Matthias and Larch, Martin and Peter, Georg, Google Search Volume and its Influence on Liquidity and Returns of German Stocks (August 27, 2010). Financial Markets and Portfolio Management, Vol. 25, No. 3, pp. 239-264, 2011. Available at SSRN: http://ssrn.com/abstract=1666763

Contact Information

Matthias Bank
University of Innsbruck ( email )
Universitätsstraße 15
Innsbruck, Innsbruck 6020
Austria
Martin Larch
University of Innsbruck ( email )
Universitätsstraße 15
Innsbruck, Innsbruck 6020
Austria
Georg Peter (Contact Author)
University of Innsbruck ( email )
Universitätsstraße 15
Innsbruck, Innsbruck 6020
Austria
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