Google search and stock returns: A study on BIST 100 stocks

Cumhur Ekinci; Ali Eray Bulut

doi:10.1016/j.gfj.2020.100518

Google search and stock returns: A study on BIST 100 stocks

Cumhur Ekinci^*
, Ali Eray Bulut

^*Corresponding author for this work

Department of Management Engineering

Research output: Contribution to journal › Article › peer-review

29 Citations (Scopus)

Abstract

This study investigates whether there is a relationship between Google search and stock returns after we account for market, size, and value. We analyze weekly data on BIST 100 stocks from 2012 to 2017. Our results reveal that Google search is associated with positive returns, especially in small-capitalization stocks, but high search volume in the current period does not predict positive returns in the next period. The relationship is stronger (weaker) for sports and real estate (commercial and banking) firms. We provide additional evidence for market, size, and value factors. Institutional interest in the stock, more than firm size, can explain the relation between search volume and stock returns.

Original language	English
Article number	100518
Journal	Global Finance Journal
Volume	47
DOIs	https://doi.org/10.1016/j.gfj.2020.100518
Publication status	Published - Feb 2021

Bibliographical note

Publisher Copyright:
© 2020 Elsevier Inc.

Funding

We acknowledge the support of ITU Finance Lab in obtaining data.

Funders
ITU Finance Lab

Keywords

Borsa Istanbul
Fama-French factors
Google search

Access to Document

10.1016/j.gfj.2020.100518

Cite this

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title = "Google search and stock returns: A study on BIST 100 stocks",

abstract = "This study investigates whether there is a relationship between Google search and stock returns after we account for market, size, and value. We analyze weekly data on BIST 100 stocks from 2012 to 2017. Our results reveal that Google search is associated with positive returns, especially in small-capitalization stocks, but high search volume in the current period does not predict positive returns in the next period. The relationship is stronger (weaker) for sports and real estate (commercial and banking) firms. We provide additional evidence for market, size, and value factors. Institutional interest in the stock, more than firm size, can explain the relation between search volume and stock returns.",

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N2 - This study investigates whether there is a relationship between Google search and stock returns after we account for market, size, and value. We analyze weekly data on BIST 100 stocks from 2012 to 2017. Our results reveal that Google search is associated with positive returns, especially in small-capitalization stocks, but high search volume in the current period does not predict positive returns in the next period. The relationship is stronger (weaker) for sports and real estate (commercial and banking) firms. We provide additional evidence for market, size, and value factors. Institutional interest in the stock, more than firm size, can explain the relation between search volume and stock returns.

AB - This study investigates whether there is a relationship between Google search and stock returns after we account for market, size, and value. We analyze weekly data on BIST 100 stocks from 2012 to 2017. Our results reveal that Google search is associated with positive returns, especially in small-capitalization stocks, but high search volume in the current period does not predict positive returns in the next period. The relationship is stronger (weaker) for sports and real estate (commercial and banking) firms. We provide additional evidence for market, size, and value factors. Institutional interest in the stock, more than firm size, can explain the relation between search volume and stock returns.

KW - Borsa Istanbul

KW - Fama-French factors

KW - Google search

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DO - 10.1016/j.gfj.2020.100518

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JO - Global Finance Journal

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ER -

Google search and stock returns: A study on BIST 100 stocks

Abstract

Bibliographical note

Funding

Keywords

Access to Document

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