Predictability of stock market activity using google
Many scientists have used search engine query data to forecast econometric time series like consumer confidence indicators, unemployment rates, retail sales, house price indices, stock Effects of Internet Search Queries on German Stocks.
Version papier du livre. In recent years, the internet has developed very quickly and became a major source of information all over the planet.
Many scientists have used search engine query data to forecast econometric time series like consumer confidence indicators, unemployment rates, retail sales, house price indices, stock prices, volatility of stocks and even commodity prices. Following the prior research this study analyzes the impact of internet search engine data on capital markets. Many authors already have contributed to index level data and most of them on the US market.
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This study adds to the existing literature on the German stock market. Two research questions are answered: First, whether an increase in search queries drives individual stock returns and second, whether queries affect the implied volatility of stock options.
EconPapers: Predictability of stock market activity using Google search queries
After controlling for seasonality, autocorrelation and general market risk, in the further analysis also the Price-to-Book valuation, one year performance and historical volatility are examined in interaction with internet search queries. The author is a capital market professional in the field of asset management and quantitative finance.
He gained relevant experience in practical tactical asset allocation at a renowned German asset management firm and thereafter on capital market derivative strategies for a consultancy firm in Frankfurt. His core area of expertise is centered on multi asset and absolute return investments. Today he is working for an international asset management company and supplying institutional clients with investment solutions.
Effects of Internet Search Queries on German Stocks Jan Becker Diplomica Verlag , - 92 pages 0 Avis In recent years, the internet has developed very quickly and became a major source of information all over the planet. Part 4Limitations of Research.
