Wikipedia Search Momentum and Stock Returns

42 Pages Posted: 2 Aug 2018

See all articles by Simon Behrendt

Simon Behrendt

Zeppelin University

David Zimmermann

Universität Witten/Herdecke

Date Written: August 1, 2018


We present empirical evidence that collective investor behavior can be inferred from large-scale Wikipedia search data for individual-level stocks. Using Shannon transfer entropy, a model-free measure that considers any kind of statistical dependence between time series, we investigate the statistical information transfer between daily Wikipedia searches and stock returns for a sample of 447 stocks and all trading days from 2008 to 2017. We entertain a hypothetical trading strategy based on Wikipedia search momentum that maps our findings to average portfolio returns. Results are in line with the notion of investor sentiment and the trading patterns of retail investors.

Keywords: Wikipedia, stock market, investor behavior, transfer entropy

JEL Classification: C14, G14, G15, G40

Suggested Citation

Behrendt, Simon and Zimmermann, David, Wikipedia Search Momentum and Stock Returns (August 1, 2018). Available at SSRN: or

Simon Behrendt (Contact Author)

Zeppelin University ( email )

Am Seemooser Horn 20
Friedrichshafen, Lake Constance 88045

David Zimmermann

Universität Witten/Herdecke ( email )

Alfred-Herrhausen-Straße 50
Witten, 58448

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