IDEAS home Printed from https://ideas.repec.org/a/kap/fmktpm/v25y2011i3p239-264.html
   My bibliography  Save this article

Google search volume and its influence on liquidity and returns of German stocks

Author

Listed:
  • Matthias Bank

    ()

  • Martin Larch

    ()

  • Georg Peter

    ()

Abstract

No abstract is available for this item.

Suggested Citation

  • Matthias Bank & Martin Larch & Georg Peter, 2011. "Google search volume and its influence on liquidity and returns of German stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 239-264, September.
  • Handle: RePEc:kap:fmktpm:v:25:y:2011:i:3:p:239-264
    DOI: 10.1007/s11408-011-0165-y
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s11408-011-0165-y
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Frieder, Laura & Subrahmanyam, Avanidhar, 2005. "Brand Perceptions and the Market for Common Stock," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(01), pages 57-85, March.
    2. Tarun Chordia, 2001. "Market Liquidity and Trading Activity," Journal of Finance, American Finance Association, vol. 56(2), pages 501-530, April.
    3. Stoll, Hans R, 1978. "The Supply of Dealer Services in Securities Markets," Journal of Finance, American Finance Association, vol. 33(4), pages 1133-1151, September.
    4. Vayanos, Dimitri, 1998. "Transaction Costs and Asset Prices: A Dynamic Equilibrium Model," Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 1-58.
    5. Mitchell, Mark L & Mulherin, J Harold, 1994. " The Impact of Public Information on the Stock Market," Journal of Finance, American Finance Association, vol. 49(3), pages 923-950, July.
    6. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    7. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
    8. George M. Constantinides, 2005. "Capital Market Equilibrium with Transaction Costs," World Scientific Book Chapters,in: Theory Of Valuation, chapter 7, pages 207-227 World Scientific Publishing Co. Pte. Ltd..
    9. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    10. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
    11. Brad M. Barber & Terrance Odean, 2008. "All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors," Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 785-818, April.
    12. Sabine Artmann & Philipp Finter & Alexander Kempf & Stefan Koch & Erik Theissen, 2012. "The Cross-Section of German Stock Returns: New Data and New Evidence," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 64(1), pages 20-43, January.
    13. Lo, Andrew W & Wang, Jiang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 257-300.
    14. Merton, Robert C, 1987. " A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
    15. Amir Rubin & Eran Rubin, 2010. "Informed Investors and the Internet," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7-8), pages 841-865.
    16. Allaudeen Hameed & Wenjin Kang & S. Viswanathan, 2010. "Stock Market Declines and Liquidity," Journal of Finance, American Finance Association, vol. 65(1), pages 257-293, February.
    17. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    18. Joel Hasbrouck, 2009. "Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data," Journal of Finance, American Finance Association, vol. 64(3), pages 1445-1477, June.
    19. Eleswarapu, Venkat R, 1997. " Cost of Transacting and Expected Returns in the Nasdaq Market," Journal of Finance, American Finance Association, vol. 52(5), pages 2113-2127, December.
    20. Vlastakis, Nikolaos & Markellos, Raphael N., 2012. "Information demand and stock market volatility," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1808-1821.
    21. Lily Fang & Joel Peress, 2009. "Media Coverage and the Cross-section of Stock Returns," Journal of Finance, American Finance Association, vol. 64(5), pages 2023-2052, October.
    22. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    23. Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, vol. 92(2), pages 153-181, May.
    24. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, vol. 1(2), pages 203-219, August.
    25. Yakov Amihud & Haim Mendelson, 2006. "Stock and Bond Liquidity and its Effect on Prices and Financial Policies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(1), pages 19-32, April.
    26. Kerry Cooper, S. & Groth, John C. & Avera, William E., 1985. "Liquidity, exchange listing, and common stock performance," Journal of Economics and Business, Elsevier, vol. 37(1), pages 19-33, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kristoufek, Ladislav, 2015. "Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 194-205.
    2. Siganos, Antonios, 2013. "Google attention and target price run ups," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 219-226.
    3. repec:eee:riibaf:v:41:y:2017:i:c:p:399-411 is not listed on IDEAS
    4. Prashant Das & Alan Ziobrowski & N. Coulson, 2015. "Online Information Search, Market Fundamentals and Apartment Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 51(4), pages 480-502, November.
    5. Baur, Dirk G. & Dimpfl, Thomas, 2016. "Googling gold and mining bad news," Resources Policy, Elsevier, vol. 50(C), pages 306-311.
    6. repec:eee:eneeco:v:66:y:2017:i:c:p:194-204 is not listed on IDEAS
    7. Moussa, Faten & Delhoumi, Ezzeddine & Ouda, Olfa Ben, 2017. "Stock return and volatility reactions to information demand and supply," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 54-67.
    8. Ana Brochado, 2016. "Investor attention and Portuguese stock market volatility: We’ll google it for you!," EcoMod2016 9345, EcoMod.
    9. ap Gwilym, O. & Kita, A. & Wang, Q., 2014. "Speculate against speculative demand," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 212-221.
    10. Philipp Stephan & Rüdiger Nitzsch, 2013. "Do individual investors’ stock recommendations in online communities contain investment value?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(2), pages 149-186, June.
    11. Goddard, John & Kita, Arben & Wang, Qingwei, 2015. "Investor attention and FX market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 79-96.
    12. Vakrman, Tomas & Kristoufek, Ladislav, 2015. "Underpricing, underperformance and overreaction in initial pubic offerings: Evidence from investor attention using online searches," FinMaP-Working Papers 35, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    13. Gwilym, Owain Ap & Wang, Qvigwei & Hasan, Iftekhar & Xie, Ru, 2013. "In search of concepts : The effects of speculative demand on returns and volume," Research Discussion Papers 10/2013, Bank of Finland.
    14. repec:eee:glofin:v:33:y:2017:i:c:p:38-50 is not listed on IDEAS
    15. Li, Xin & Ma, Jian & Wang, Shouyang & Zhang, Xun, 2015. "How does Google search affect trader positions and crude oil prices?," Economic Modelling, Elsevier, vol. 49(C), pages 162-171.
    16. repec:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9228-z is not listed on IDEAS
    17. Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2014. "Internet, noise trading and commodity futures prices," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 82-89.
    18. Jing Wu & Yongheng Deng, 2015. "Intercity Information Diffusion and Price Discovery in Housing Markets: Evidence from Google Searches," The Journal of Real Estate Finance and Economics, Springer, vol. 50(3), pages 289-306, April.
    19. Zhang, Wei & Shen, Dehua & Zhang, Yongjie & Xiong, Xiong, 2013. "Open source information, investor attention, and asset pricing," Economic Modelling, Elsevier, vol. 33(C), pages 613-619.
    20. repec:exl:25engi:v:27:y:2016:i:1:p:13-22 is not listed on IDEAS
    21. Takeda, Fumiko & Wakao, Takumi, 2014. "Google search intensity and its relationship with returns and trading volume of Japanese stocks," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 1-18.
    22. repec:ipg:wpaper:2014-405 is not listed on IDEAS
    23. Aouadi, Amal & Arouri, Mohamed & Teulon, Frédéric, 2013. "Investor attention and stock market activity: Evidence from France," Economic Modelling, Elsevier, vol. 35(C), pages 674-681.
    24. repec:eee:pacfin:v:46:y:2017:i:pb:p:243-257 is not listed on IDEAS
    25. Gao, Lei & Mei, Bin, 2013. "Investor attention and abnormal performance of timberland investments in the United States," Forest Policy and Economics, Elsevier, vol. 28(C), pages 60-65.

    More about this item

    Keywords

    Google insights; Stock liquidity; Trading activity; Stock returns; G12; G14;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:fmktpm:v:25:y:2011:i:3:p:239-264. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.