Asset Prices and Google's Search Data

26 Pages Posted: 24 Apr 2012

See all articles by Bodo Herzog

Bodo Herzog

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

Date Written: April 24, 2012

Abstract

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.

Keywords: Google Data, Asset Price Determination, Asset Bubbles

JEL Classification: G12, E65

Suggested Citation

Herzog, Bodo, Asset Prices and Google's Search Data (April 24, 2012). 25th Australasian Finance and Banking Conference 2012. Available at SSRN: https://ssrn.com/abstract=2045766 or http://dx.doi.org/10.2139/ssrn.2045766

Bodo Herzog (Contact Author)

Reutlingen University - ESB Business School ( email )

Alteburgstr. 150
Reutlingen, 72762
Germany

Reutlingen University - RRI Reutlingen Research Institute ( email )

Altebrugstr. 150
Reutlingen, 72762
Germany

Portland State University - School of Business Administration ( email )

Portland, OR 97207-0751
United States

Zeppelin University ( email )

Am Seemooser Horn 20
Friedrichshafen, Lake Constance 88045
Germany

DWS Investments ( email )

Frankfurt
Germany

German Council of Economic Experts ( email )

Federal Statistical Office
Gustav-Stresemann-Ring 11
Wiesbaden, Hessen 65180
Germany

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