The Relationship between Intraday Sentiment Data and Stock Price Behavior: A Comparison of Stocks and REITs

Recent research has identified internet search volume as an objective measure for revealing and quantifying the interests of investors in a capital market context (Da et al., 2011; Rochdi and Dietzel, 2015). This paper introduces “Google Trends” as a new measure for intraday investor attention. To date, it has only been possible to download these large behavioral data sets on a weekly basis. Since June 2015, “Google Trends” has provided search query volumes on an intraday basis which yields new insights into different stages of large-scale collective decision making in a more precise manner. The aim of this research paper is to determine whether investor information demand on an hourly basis, as measured via “Google Trends”, can explain and possibly predict the intraday movements of publicly traded stocks. In order to differentiate between frequently traded stocks with high media attention and less frequently traded, asset-specific stocks with relatively low media attention, the focus is on the stocks from the DJIA on the one hand, and on the twenty largest REIT stocks from the MSCI US REIT Index on the other. To investigate whether changes in information-gathering behavior are related to subsequent changes in stock prices, a hypothetical investment strategy based on changes in Google search volume is tested, in order to anticipate stock price movements. Preliminary findings suggest that there is a relationship between the Google attention measure and the intraday stock price movements. To the best of our knowledge, this is the first paper to use intraday data on an hourly basis from “Google Trends” as an attention measure.