IDEAS home Printed from https://ideas.repec.org/a/vrs/ecobur/v8y2022i2p7-28n5.html
   My bibliography  Save this article

How Google Trends can improve market predictions— the case of the Warsaw Stock Exchange

Author

Listed:
  • Kropiński Paweł

    (Department of Operations Research and Mathematical Economics, Poznań University of Economics and Business, al. Niepodległości 10, 61-875 Poznań, Poland)

  • Anholcer Marcin

    (Department of Operations Research and Mathematical Economics, Poznań University of Economics and Business, al. Niepodległości 10, 61-875 Poznań, Poland)

Abstract

The aim of this paper is to investigate interdependencies between the WIG20 index and economic policy uncertainty (EPU) related keywords quantified by a Google Trends search index. Tests for two periods from January 2015 till December 2019 and from June 2016 till May 2021 have been performed. This allowed the period of relative stability from the time of economic shock caused by the COVID-19 pandemics followed by various restrictions imposed by the governments to be distinguished. A bivariate VAR model to selected search terms and the value of the WIG20 index was applied. After using AIC to establish the optimal number of lags the Granger causality test was performed. The increased empirical relationship has been confirmed between twelve EPU related terms and changes in the WIG20 index in the second period versus six terms for the pre-COVID period. It was also found that in the post-COVID period the intensity of reverse relations increased.

Suggested Citation

  • Kropiński Paweł & Anholcer Marcin, 2022. "How Google Trends can improve market predictions— the case of the Warsaw Stock Exchange," Economics and Business Review, Sciendo, vol. 8(2), pages 7-28, July.
    • Handle: RePEc:vrs:ecobur:v:8:y:2022:i:2:p:7-28:n:5
    DOI: 10.18559/ebr.2022.2.2
    as

    Download full text from publisher

    File URL: https://doi.org/10.18559/ebr.2022.2.2
    Download Restriction: no
    File URL: https://libkey.io/10.18559/ebr.2022.2.2?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Zhi Da & Joseph Engelberg & Pengjie Gao, 2011. "In Search of Attention," Journal of Finance, American Finance Association, vol. 66(5), pages 1461-1499, October.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Abdul Baki, Ghina & Beland, Louis-Philippe & Yazbeck, Myra & Zayat, Aline, 2025. "Reactance, rationalization, and women's rights for safe abortion: Evidence from Roe vs. Wade's overturn," Journal of Economic Behavior & Organization, Elsevier, vol. 233(C).
    2. Gu, Chen & Kurov, Alexander & Wolfe, Marketa Halova, 2018. "Relief Rallies after FOMC Announcements as a Resolution of Uncertainty," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 1-18.
    3. Dash, Saumya Ranjan & Maitra, Debasish, 2018. "Does sentiment matter for stock returns? Evidence from Indian stock market using wavelet approach," Finance Research Letters, Elsevier, vol. 26(C), pages 32-39.
    4. Gao, Xin & Xu, Weidong & Li, Donghui, 2025. "Media coverage and managerial investment learning from stock markets: International evidence," Research in International Business and Finance, Elsevier, vol. 76(C).
    5. Jamaani, Fouad, 2025. "Can female directors affect IPO withdrawal risk?," Business Horizons, Elsevier, vol. 68(3), pages 361-383.
    6. Tsukioka, Yasutomo & Yanagi, Junya & Takada, Teruko, 2018. "Investor sentiment extracted from internet stock message boards and IPO puzzles," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 205-217.
    7. Wen, Danyan & Zhang, Zihao & Nie, Jing & Cao, Yang, 2024. "Investor attention and anomalies: Evidence from the Chinese stock market," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    8. Derrick W. H. Fung & Charles C. Yang & Jason J. H. Yeh, 2024. "The market price to embedded value gap: an analysis of European life insurers," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 69-96, January.
    9. Mohrschladt, Hannes, 2021. "The ordering of historical returns and the cross-section of subsequent returns," Journal of Banking & Finance, Elsevier, vol. 125(C).
    10. Liu, Shimeng & Xiong, Xiong & Gao, Ya, 2025. "Market-based environmental regulations and green innovation: Evidence from the pilot carbon markets in China," Research in International Business and Finance, Elsevier, vol. 77(PA).
    11. Amal Aouadi & Sylvain Marsat, 2018. "Do ESG Controversies Matter for Firm Value? Evidence from International Data," Journal of Business Ethics, Springer, vol. 151(4), pages 1027-1047, September.
    12. Xun Zhang & Fengbin Lu & Rui Tao & Shouyang Wang, 2021. "The time-varying causal relationship between the Bitcoin market and internet attention," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-19, December.
    13. Guo, Li & Sang, Bo & Tu, Jun & Wang, Yu, 2024. "Cross-cryptocurrency return predictability," Journal of Economic Dynamics and Control, Elsevier, vol. 163(C).
    14. Li, Frank Weikai & Sun, Chengzhu, 2022. "Information acquisition and expected returns: Evidence from EDGAR search traffic," Journal of Economic Dynamics and Control, Elsevier, vol. 141(C).
    15. Guo, Shijun & Hu, Fang, 2025. "Catalyzing transparency: Proactive enforcement of information disclosure and its impact on stock price synchronicity," Journal of Contemporary Accounting and Economics, Elsevier, vol. 21(1).
    16. Hu, Lei & Song, Min & Wen, Fenghua & Zhang, Yun & Zhao, Yunning, 2025. "The impact of climate attention on risk spillover effect in energy futures markets," Energy Economics, Elsevier, vol. 141(C).
    17. Borah, Abhishek & Rutz, Oliver, 2024. "Enhanced sales forecasting model using textual search data: Fusing dynamics with big data," International Journal of Research in Marketing, Elsevier, vol. 41(4), pages 632-647.
    18. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia & Brzeszczyński, Janusz, 2025. "Energy in turmoil: Industry resilience to uncertainty during the global energy crisis," Applied Energy, Elsevier, vol. 389(C).
    19. Wang, Albert Y. & Young, Michael, 2023. "Mood, attention, and household trading: Evidence from terrorist attacks," Journal of Financial Markets, Elsevier, vol. 66(C).
    20. Stephen P. Ferris & Jan Hanousek, Jr. & Jan Hanousek & Jolana Stejskalová, 2025. "The Power of the Crowd: Retail Investors and the Cost of Capital," MENDELU Working Papers in Business and Economics 2025-105, Mendel University in Brno, Faculty of Business and Economics.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

    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:vrs:ecobur:v:8:y:2022:i:2:p:7-28:n:5. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.sciendo.com .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.