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Can Information Demand Help to Predict Stock Market Liquidity ? Google it !

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Author Info

  • Mohamed Arouri
  • Amal Aouadi
  • Philippe Foulquier
  • Frédéric Teulon

Abstract

Numerous recent studies indicate that investors’ information demand affects stock market return and volatility. In this paper, we contribute to the literature by investigating whether information demand is a significant determinant of liquidity in the French stock market. Our main findings suggest that internet research volume tends to be positively related to market liquidity. In the out-of-sample analysis, we show that introducing information demand variables significantly improves liquidity forecasting.

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Bibliographic Info

Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2013-024.

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Length: 30 pages
Date of creation: 26 Sep 2013
Date of revision:
Handle: RePEc:ipg:wpaper:2013-024

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Related research

Keywords: Information demand; Financial markets; Stock liquidity.;

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References

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Citations

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Cited by:
  1. Olfa Bouasker & Jean-Luc Prigent, 2014. "Corporate Investment Choice and Exchange Option between Production Functions," Working Papers, Department of Research, Ipag Business School 2014-511, Department of Research, Ipag Business School.
  2. Mehmet Balcilar & Kirsten Thompson & Rangan Gupta & Renee van Eyden, 2014. "Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach," Working Papers 201414, University of Pretoria, Department of Economics.
  3. Khaled Guesmi & Duc Khuong Nguyen & Frédéric Teulon, 2014. "Further evidence on the determinants of regional stock market integration in Latin America," Working Papers, Department of Research, Ipag Business School 2014-415, Department of Research, Ipag Business School.
  4. Ilyes Abid & Khaled Guesmi & Olfa Kaabia & Duc Khuong Nguyen, 2014. "Financial Crises and Contagion Effects between the US and OECD Equity Markets," Working Papers, Department of Research, Ipag Business School 2014-451, Department of Research, Ipag Business School.
  5. Marcel Aloy & Gilles De Truchis & Gilles Dufrénot & Benjamin Keddad, 2013. "Shift-Volatility Transmission in East Asian Equity Markets," Working Papers halshs-00935364, HAL.
  6. Anissa Chaibi & Maria-Lenuta Ciupac-Ulici & Mircea-Cristian Gherman, 2014. "Do Recent Stochastic Tools Help to Better Understand Investors’ Preference and Asset Allocation?," Working Papers, Department of Research, Ipag Business School 2014-130, Department of Research, Ipag Business School.
  7. Naceur Naguez & Jean-Luc Prigent, 2014. "Kappa Performance Measures with Johnson Distributions," Working Papers, Department of Research, Ipag Business School 2014-510, Department of Research, Ipag Business School.
  8. Frédéric Teulon, 2014. "Les bulles spéculatives et le marché de l’immobilier," Working Papers, Department of Research, Ipag Business School 2014-418, Department of Research, Ipag Business School.
  9. Amal Aouadi & Mohamed Arouri & Frédéric Teulon, 2014. "Investor attention and stock market activity: Evidence from France," Working Papers, Department of Research, Ipag Business School 2014-405, Department of Research, Ipag Business School.
  10. Mohamed Arouri & Shawkat Hammoudeh & Fredj Jawadi & Duc Khuong Nguyen, 2014. "Financial Linkages between U.S. Sector Credit Default Swaps Markets," Working Papers, Department of Research, Ipag Business School 2014-553, Department of Research, Ipag Business School.

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