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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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File URL: http://www.ipag.fr/wp-content/uploads/recherche/WP/IPAG_WP_2013_024.pdf
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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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Cited by:
  1. 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 2014-130, Department of Research, Ipag Business School.

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