Association between Stock Market Gains and Losses and Google Searches

Arditi, Eli; Yechiam, Eldad; Zahavi, Gal

doi:10.1371/journal.pone.0141354

Cited by 6 publications

(3 citation statements)

References 42 publications

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“…Conversely when inattention dominates the reaction is delayed (see DellaVigna and Pollet, 2009). Arditi et al (2015) look at Google search and the magnitude of the stock price move by considering the absolute abnormal returns. They find a positive relationship.…”

Section: Attentionmentioning

confidence: 99%

Information, attention, sentiment, and buzz in the financial markets

Bruslerie

2017

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This paper aims at focusing on the avenues of research related to the process of information integration by taking explicitly into account investors' sentiment, investors' attention, and the buzz hypothesis. New social media introduce change in the way information is processes in the market. Qualitative concepts such as rumor, opinion, sentiment, are often put in the frontstage. Moreover the formal dimensions of information become more important compared to the content of information. This leads to new avenues of research aside the standard information value hypothesis. disclose relevant information. Analysts are the best example. They produce highly synthetic information that is standardized and understandable to investors such as earnings forecasts and recommendations. The process of integration of these pieces of information is not so simple. Even if the content of the information is valuable it may be polluted by conflicts of interest. So the analysts system introduces by itself some additional uncertainty and/or some noise (Michaely and Womack, 1999;Dubois and Dumontier, 2006). Strategic communication policies and hiring investor relation firms will also bias information delivery (Bushee and Miller, 2012). This will increase communication press coverage and disclosure activity; it develops dissemination to investors…At the end, it will reduce the bid-ask spread (Bushee et al., 2010). But will it reduce information asymmetry? If disclosure is pure noise, the answer should be negative. If disclosure is private information, the answer should be positive. However , if the communication strategy repeats constantly the same (positive) new, it is more complex as the initial delivery of private information is no more private after that and becomes a quantitative communication strategy that aims at creating a buzz, i.e. at dragging overall attention to the firm's name. Dissemination tools are very various: commercial wire services (such as Dow Jones Reuters, Bloomberg), analyst' meetings, issue/revision of forecasts, public media coverage, conference calls, and social media. The specificity of social mediaThe Internet introduces new relationship with regard to information. Online generates massive datasets. Social media are Internet-based services where the content of information is freely created by the participants. Everybody can raise his voice, and give information, opinion and express postures. One important characteristic is immediacy of information. Avoiding the channel of traditional media and overpassing the intermediary role of journalists and editors, will result in communication and messages that are not filtered by ethical considerations, trustfulness and accuracy constraints. The two major players in the social media industry are Twitter and Facebook. The content of information provided on large scale by social media may influence the setting of price in financial markets as well as traditional media and financial news services. McLuhan (1964) recalled that the medium is not a passive technology but cre...

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Section: Attentionmentioning

confidence: 99%

Information, attention, sentiment, and buzz in the financial markets

Bruslerie

2017

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“…Numerous publications aim to build models to predict stock prices, considering the traditional models have not been fully successful in doing so. In contemporary markets, stockholders’ opinions are considered faithful indicators of the future value of their investment holding [ 20 ]. With the common use of social networks, the opinion of the stockholders has been more present than ever before.…”

Section: Introductionmentioning

confidence: 99%

Measuring information flux between social media and stock prices with Transfer Entropy

2021

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Transfer Entropy was applied to analyze the correlations and flow of information between 200,500 tweets and 23 of the largest capitalized companies during 6 years along the period 2013-2018. The set of tweets were obtained applying a text mining algorithm and classified according to daily date and company mentioned. We proposed the construction of a Sentiment Index applying a Natural Processing Language algorithm and structuring the sentiment polarity for each data set. Bootstrapped Simulations of Transfer Entropy were performed between stock prices and Sentiment Indexes. The results of the Transfer Entropy simulations show a clear information flux between general public opinion and companies’ stock prices. There is a considerable amount of information flowing from general opinion to stock prices, even between different Sentiment Indexes. Our results suggest a deep relationship between general public opinion and stock prices. This is important for trading strategies and the information release policies for each company.

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“…Both stock and fixed income markets will have their respective returns, volatilities and traded volumes related to the search query levels from Google. This method was chosen since these variables have already been related to search query data from Google in studies conducted outside Brazil (Arditi, Yechiam, & Zahavi, 2015;Bordino, Battiston, Caldarelli, Cristelli, Ukkonen, & Weber, 2012;Perlin et al, 2016;Vozlyublennaia, 2014). These measures will be used both as dependent variables as regressors in the econometric framework.…”

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confidence: 99%

The Forecasting Power of Internet Search Queries in the Brazilian Financial Market

Ramos

Ribeiro

Perlin

2017

RAM, Rev. Adm. Mackenzie

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Purpose: To analyze the predictability of Google's search queries in the Brazilian financial market. Originality/gap/relevance/implications: Despite a growing foreign literature using Google's search query data, there is no acknowledgement of work on this area in Brazil. An application to the Brazilian financial market shows new sources of information about market movements and may contribute to researchers and practitioners to understand how changes in specific search queries affect the market. Key methodological aspects: Following previous studies, we estimate VAR models and Granger causality tests to investigate the effects over three variables in both stock and fixed income markets: traded volume, return and volatility. Following this procedure, we verify both the hypothesis of financial variables being affected by search queries, as well as the opposite relationship. Weekly data from Google's search queries and financial markets was gathered for the period between 2007 and 2014. Summary of key results: The existence of a predictive effect between search query data and financial variables, particularly in the stock market, is evident. However, this result was not robust in all cases studied. It is noteworthy that, for the inverse relationship, i.e. financial market impacting search queries on Google, strong evidence of a causal relationship has been found. A trading strategy based on this type of data yielded higher returns than the defined benchmarks. Key considerations/conclusions: A significant relationship between Google's search query data and the financial market has been discovered. Results provide a new source of information that affects the Brazilian financial market.

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Association between Stock Market Gains and Losses and Google Searches

Cited by 6 publications

References 42 publications

Information, attention, sentiment, and buzz in the financial markets

Information, attention, sentiment, and buzz in the financial markets

Measuring information flux between social media and stock prices with Transfer Entropy

The Forecasting Power of Internet Search Queries in the Brazilian Financial Market

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