Google’s Search Data and its Application in Finance
International Journal of Economics, Finance and Management Sciences
Volume 2, Issue 1, February 2014, Pages: 1-7
Received: Nov. 1, 2013; Published: Dec. 10, 2013
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Bodo Herzog, ESB Business School, Reutlingen, Germany; Institute of Finance and Economics (IFE), Germany; Reutlingen Research Institute, Reutlingen University, Germany
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This paper examines the relationship of asset price determination via Google data. To capture this relation, I create a model and estimate several time series’ regressions. I use weekly data from 2004 to 2010 from 30 international banks. To my knowledge this is the first study which differentiates between Google’s search volume and Google’s search clicks. I show that asset prices are positively related to the rate of change in Google’s search volume, trading volume and the level of Google search clicks. Secondly, I demonstrate that the absolute level of Google’s search volume and Google’s search clicks behave differently regarding the asset price dynamics. Google’s search volume, which measures long-run searches, is negatively related while Google’s search clicks have a positive relationship to asset prices. Hence, Google’s data offer new insights on both measuring attention and pricing financial assets.
Search Data, Asset Price, Asset Bubbles, Google Measures
To cite this article
Bodo Herzog, Google’s Search Data and its Application in Finance, International Journal of Economics, Finance and Management Sciences. Vol. 2, No. 1, 2014, pp. 1-7. doi: 10.11648/j.ijefm.20140201.11
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