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Predicting Power of Ticker Search Volume in Indian Stock Market

Author

Listed:
  • Ishani Chaudhuri

    ((Corresponding author), Madras School of Economics)

  • Parthajit Kayal

    ((Corresponding author), Madras School of Economics)

Abstract

This study examines the ability of online ticker searches to serve as a valid proxy for investor sentiment and forecast stock returns and trading volumes in the Indian financial market. In contrast to the common findings, we observe that ticker search volumes do not exhibit any predictive value for future excess stock returns. However, we find a weak but significant positive effect of ticker search volumes on trading volume with a two-week lag. A battery of robustness checks supports our findings. Our work warns the investors from possible misleading insights arising from search volume and stock returns related studies.

Suggested Citation

  • Ishani Chaudhuri & Parthajit Kayal, 2022. "Predicting Power of Ticker Search Volume in Indian Stock Market," Working Papers 2022-214, Madras School of Economics,Chennai,India.
    • Handle: RePEc:mad:wpaper:2022-214
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Online Ticker; Google Search Volume; Stock Returns; Trading Volume;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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