Google’s search data and its application in finance
- This paper examines the relationship of asset Price determination via Google data. To capture this relation, I create a model and estimate several time series’ regressions. I use weekly data from 2004 to 2010 from 30 international banks. To my knowledge this is the first study which differentiates between Google’s search volume and Google’s search clicks. I show that asset prices are positively related to the rate of change in Google’s search volume, trading volume and the level of Google search clicks. Secondly, I demonstrate that the absolute level of Google’s search volume and Google’s search clicks behave differently regarding the asset price dynamics. Google’s search volume, which measures long-run searches, is negatively related while Google’s search clicks have a positive relationship to asset prices. Hence, Google’s data offer new insights on both measuring attention and pricing financial assets.
| Author of HS Reutlingen | Herzog, Bodo |
|---|---|
| URN: | urn:nbn:de:bsz:rt2-opus4-478 |
| DOI: | https://doi.org/10.11648/j.ijefm.20140201.11 |
| ISSN: | 2326-9553 |
| eISSN: | 2326-9561 |
| Erschienen in: | International journal of economics, finance and management sciences |
| Publisher: | Science Publishing Group |
| Place of publication: | New York |
| Document Type: | Journal article |
| Language: | English |
| Publication year: | 2014 |
| Tag: | Google measures; asset bubbles; asset price; search data |
| Volume: | 2 |
| Issue: | 1 |
| Page Number: | 7 |
| First Page: | 1 |
| Last Page: | 7 |
| DDC classes: | 330 Wirtschaft |
| Open access?: | Ja |
| Licence (German): |  Creative Commons - Namensnennung |
