Googling Investor Sentiment around the World

Gao, Zhenyu; Ren, Haohan; Zhang, Bohui

doi:10.1017/s0022109019000061

Cited by 128 publications

(53 citation statements)

References 88 publications

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“…This choice is based on two considerations. First, the selected indirect measures have been used by some of the important studies, for instance, Brown and Cliff, Baker and Wurgler, Chen et al, Fisher and Statman, and Gao et al [10,12,13,39,79,80]. Second, GSVI is a unique direct measure of sentiment on which time series can be constructed and combined with data on indirect measures.…”

Section: Measurement Of Sentimentmentioning

confidence: 99%

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Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan

Khan

Ahmad

2018

Sustainability

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The present study examines bi-directional contemporaneous and lead–lag relationships between investor sentiment and market returns in the emerging market of Pakistan over the period of 2006 to 2016. To measure investor sentiment, the study employs a direct proxy namely Google search volume index (GSVI) and nine other indirect proxies. Besides conventional regression and VAR model, the study applies Geweke’s (1982) tests to investigate the nature of relationships between sentiment and returns. Thus, the study adds to existing literature by providing latest and thorough statistical evidence on the role of investor sentiment in influencing market returns. The study finds sufficient evidence regarding irrational behavior of investors in the thin market of Pakistan. In particular, the results indicate substantive role of sentiment in dragging stock market away from its sustainable path as implied by economic fundamentals.

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Section: Measurement Of Sentimentmentioning

confidence: 99%

“…The Harvard IV-4 Dictionary and the Lasswell Value Dictionary are used for developing the set of finance and economic related search terms. Following Gao et al [80], the steps given below are performed for developing Google search volume index (GSVI):…”

mentioning

confidence: 99%

Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan

Khan

Ahmad

2018

Sustainability

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“…First, uses of the same international search engine for all countries make the data consistent and comparable. Our approach is similar to Gao et al (2016), who study the Google sentiment on stock markets in a cross country analysis around the globe, including mainland China. Second, though Google search is prohibited in the mainland China, foreign retail investors are still able to use Google to search information and decide to trade in the Chinese stock markets or local investor can use the virtual private networks (VPNs) to access the Google website (Wang et al 2017).…”

mentioning

confidence: 99%

Investor Attention and Stock Market Activities: New Evidence from Panel Data

Padungsaksawasdi

Treepongkaruna

Brooks

2019

IJFS

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Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI–stock market activities relationship exists, in which the SVI–trading volume relationship shows the strongest evidence. This is consistent with prior literature using trading volume as a proxy of investor attention. However, the relationships in the developed and developing markets are statistically significantly different. The stock markets in the developed markets over-react more to the search volume than those in the developing markets. We postulate that investor attention is one of the key elements in asset pricing in stock markets.

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“…Challet and Ayed [16] wrote that Google Trends data are aggregate signals generated by many individuals and are related to the underlying assets and further concluded that Google Trends data are equivalent to price returns. Based on datasets from 40 countries for 2004-2014, Gao, Ren and Zhang [20] found that a sentiment measure using Google Trend data is significantly associated with country-level stock market returns. Yu, Zhao, Tang and Yang [50] reported that Google trends data can significantly associated with oil consumption.…”

Section: Independent Variable-chinese Influencementioning

confidence: 99%

Chinese Influence in Australia: What Do Financial Markets Tell Us?

Liu

2020

East Asia

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Australia-China relations, and especially Chinese influence in Australia, have been the subject of heated debate in Australia since 2016. The central issue is, how to balance concerns over Chinese influence in Australia with the economic benefits of Chinese trade and investment? This study-arguably the first of its kind-answers this question using rigorous empirical modelling. First, it uses Google Trends search results to measure Chinese influence in Australia. Second, it connects Chinese influence, as reflected in Google Trends search results, to financial markets, including stock markets, government bond markets and foreign exchange markets. Weekly data for January 2016-December 2019 are entered into an exponential generalised autoregressive conditional heteroskedastic model. The study finds that the effects of concerns over Chinese influence relate mainly to increased volatility of stock market indices and government bond yields, and downward pressure on the share prices of individual firms that are heavily exposed to Chinese markets. However, the overall effects appear to be minor or insignificant. The implications of these results are that China's economic coercion (if any) may not be effective, and Australia's responses to Chinese influence and interference (if any) may generate insignificant costs. Finally, this study makes original and significant academic contributions to academia by providing a novel framework for exploring international relations.

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Googling Investor Sentiment around the World

Cited by 128 publications

References 88 publications

Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan

Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan

Investor Attention and Stock Market Activities: New Evidence from Panel Data

Chinese Influence in Australia: What Do Financial Markets Tell Us?

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