Googling Investor Sentiment Around the World

99 Pages Posted: 1 Feb 2016 Last revised: 12 Nov 2018

See all articles by Zhenyu Gao

Zhenyu Gao

The Chinese University of Hong Kong (CUHK) - CUHK Business School

Haohan Ren

School of Management, Fudan University

Bohui Zhang

The Chinese University of Hong Kong, Shenzhen

Date Written: November 10, 2018

Abstract

We study how investor sentiment affects stock prices around the world. Relying on households’ Google search behavior, we construct a weekly measure of sentiment for 38 countries during the 2004–2014 period. We validate the sentiment index in tests using sports outcomes and show that the sentiment measure is a contrarian predictor of country-level market returns. Furthermore, we document an important role of global sentiment in stock markets.

Keywords: Sentiment, Google search, International markets, Co-movement

JEL Classification: G12, G14, G15

Suggested Citation

Gao, Zhenyu and Ren, Haohan and Zhang, Bohui, Googling Investor Sentiment Around the World (November 10, 2018). Journal of Financial and Quantitative Analysis (JFQA), Forthcoming. Available at SSRN: https://ssrn.com/abstract=2725072

Zhenyu Gao

The Chinese University of Hong Kong (CUHK) - CUHK Business School ( email )

Cheng Yu Tung Building
12 Chak Cheung Street
Shatin, N.T.
Hong Kong
(852)39431824 (Phone)

HOME PAGE: http://https://sites.google.com/site/gao515515/

Haohan Ren (Contact Author)

School of Management, Fudan University ( email )

No. 670, Guoshun Road
No.670 Guoshun Road
Shanghai, 200433
China

Bohui Zhang

The Chinese University of Hong Kong, Shenzhen ( email )

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