Google Search and Stock Returns: A Study on Bist 100 Stocks

Posted: 12 Apr 2021

See all articles by Ali Eray Bulut

Ali Eray Bulut

affiliation not provided to SSRN

Cumhur Ekinci

Istanbul Technical University

Date Written: April 10, 2021

Abstract

This study investigates whether there is a relationship between Google search and stock returns after we account for market, size, and value. We analyze weekly data on BIST 100 stocks from 2012 to 2017. Our results reveal that Google search is associated with positive returns, especially in small-capitalization stocks, but high search volume in the current period does not predict positive returns in the next period. The relationship is stronger (weaker) for sports and real estate (commercial and banking) firms. We provide additional evidence for market, size, and value factors. Institutional interest in the stock, more than firm size, can explain the relation between search volume and stock returns.

Keywords: Google search, Fama-French factors, Borsa Istanbul

JEL Classification: G12, G14

Suggested Citation

Bulut, Ali Eray and Ekinci, Cumhur, Google Search and Stock Returns: A Study on Bist 100 Stocks (April 10, 2021). Global Finance Journal, Vol. 47, 2021, Available at SSRN: https://ssrn.com/abstract=3823743

Ali Eray Bulut

affiliation not provided to SSRN

Cumhur Ekinci (Contact Author)

Istanbul Technical University ( email )

ITU Isletme Fakultesi - Macka
Istanbul, 34367
Turkey

HOME PAGE: http://akademi.itu.edu.tr/ekincicu/

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