Googling Investor Sentiment Around the World
99 Pages Posted: 1 Feb 2016 Last revised: 12 Nov 2018
Date Written: November 10, 2018
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
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