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Señales De Inversión Basadas En Un Índice De Aversión Al Riesgo / Investment Signs Based On A Risk Aversion Index

Author

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  • Gómez Martínez, Raúl

    () (Universidad Rey Juan Carlos I (España))

Abstract

Las estadísticas de búsquedas en internet constituyen una herramienta que cada vez tiene más peso en la investigación de las ciencias sociales. En este artículo proponemos utilizar las estadísticas de búsquedas en internet, obtenidas a través de la herramienta Google Insights, como indicador del estado de confianza o aversión al riesgo de los inversores. Con esta información elaboramos un índice de aversión al riesgo (IAR) a partir del volumen de búsquedas realizadas en Google sobre ciertos términos económicos o financieros que se correlacionan negativamente con la evolución de los mercados. En este artículo demostramos empíricamente a través de un modelo econométrico que las estadísticas de búsquedas en Google aportan información relevante sobre la evolución de los mercados financieros y que el IAR aporta señales de inversión con capacidad predictiva sobre la evolución de los principales índices bursátiles europeos, observándose rentabilidades esperadas negativas si el IAR se incrementa y positivas en caso contrario. / Internet searches statistics is a tool that is becoming more important in social science research. We propose to use the Internet search statistics, obtained through Google Insights, as an indicator of confidence or risk aversion of investors. Using this information we developed a Risk Aversion Index (RAI) from the volume of searches done on Google over certain economic or financial terms that are negatively correlated with the market trends. In this paper we show empirically through an econometric model that Google search statistics provide important information on the evolution of financial markets and the RAI provides investment signals with predictive power over the evolution of the main European stock index giving negative returns if the RAI increases and positive otherwise.

Suggested Citation

  • Gómez Martínez, Raúl, 2013. "Señales De Inversión Basadas En Un Índice De Aversión Al Riesgo / Investment Signs Based On A Risk Aversion Index," Investigaciones Europeas de Dirección y Economía de la Empresa (IEDEE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), vol. 19(3), pages 147-157.
  • Handle: RePEc:idi:jiedee:v:19:y:2013:i:3:p:147-157
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    File URL: http://zl.elsevier.es/es/revista/investigaciones-europeas-direccion-economia-empresa-345/articulo/senales-inversion-basadas-un-indice-90218049
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    More about this item

    Keywords

    Señal de inversión; Expectativas; Google Insights; Aversión al riesgo; Estado de ánimo de los inversores; Investment signs; Expectations; Google Insights; Risk aversion; Investor’s mood;

    JEL classification:

    • C - Mathematical and Quantitative Methods
    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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