Asset Prices and Google's Search Data
Reutlingen University - ESB Business School; Reutlingen University - RRI Reutlingen Research Institute; Portland State University - School of Business Administration; Zeppelin University; DWS Investments; German Council of Economic Experts
April 24, 2012
25th Australasian Finance and Banking Conference 2012
This paper investigates the relationship of asset price determination via Google data and trading volume. We use weekly data from 2004 to 2010 for 30 international banks. Our study is the first which differentiate between Google’s search volume and Google’s search clicks. We find that asset prices are positively related to the growth rate of Google’s search, trading volume and the level of Google search clicks. Secondly, we find that the absolute level of Google’s search volume and Google’s search clicks behave differently regarding asset price dynamics. Google’s search volume, which measures long-run searches, is negatively related to asset prices and Google’s search click is positively related. We conclude that Google’s data contain important information for the identification of asset bubbles.
Number of Pages in PDF File: 26
Keywords: Google Data, Asset Price Determination, Asset Bubbles
JEL Classification: G12, E65working papers series
Date posted: April 24, 2012
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