What Are You Searching For? On the Equivalence of Proxies for Online Investor Attention

20 Pages Posted: 25 Sep 2019

Date Written: September 16, 2019

Abstract

Google searches for stock tickers and company-specific Wikipedia page views may provide reasonable proxies for latent investor attention that are easily accessible for both researchers and practitioners. We draw upon Shannon transfer entropy, a model-free measure that detects any statistical dependence between time series and allows us to infer the dominant direction of the information transfer, to investigate if these different online search queries provide equivalent proxies for online investor attention. Our results show that this is not the case when considering information-theoretical arguments. Moreover, some of the detected bi-directional information transfer is nonlinear.

Keywords: Google, Wikipedia, online investor attention, information transfer

JEL Classification: C14, G15, G40

Suggested Citation

Behrendt, Simon and Prange, Philipp, What Are You Searching For? On the Equivalence of Proxies for Online Investor Attention (September 16, 2019). Available at SSRN: https://ssrn.com/abstract=3454589 or http://dx.doi.org/10.2139/ssrn.3454589

Simon Behrendt (Contact Author)

Zeppelin University ( email )

Am Seemooser Horn 20
Friedrichshafen, Lake Constance 88045
Germany

Philipp Prange

Zeppelin University ( email )

Am Seemooser Horn 20
Friedrichshafen, Lake Constance 88045
Germany

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