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Can Information Demand Help to Predict Stock Market Liquidity ? Google it !

  • Mohamed Arouri
  • Amal Aouadi
  • Philippe Foulquier
  • Frédéric Teulon

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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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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