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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.

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Metadaten
Name: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:Article
Language:English
Year of Publication:2014
Tag:Google measures; asset bubbles; asset price; search data
Volume:2
Issue:1
Pagenumber:7
First Page:1
Last Page:7
Dewey Decimal Classification:330 Wirtschaft
Open Access:Ja
Licence (German):License Logo  Creative Commons - Namensnennung