Google Search Volume and Individual Investor Trading

Dimitrios Kostopoulos, Steffen Meyer

Research output: Contribution to conference without publisher/journalPaperResearchpeer-review

Abstract

We relate Google search volumes, proxying for economic concerns of households (FEARS), to individual investor trading. The trading data come from a large German brokerage covering more than 100 thousand investors over ten years. When FEARS is high, individual investors are on the sell side of the market, particularly trading out of risky assets. This effect continues over the following days. Additionally, we find FEARS to have a negative short-horizon impact on stock market returns, which reverses over the following six days. This shows that the effect of sentiment on the market is temporary, while on individual investors it is permanent. In subsample analyses, we find results that are consistent with the theoretical prediction that less sophisticated investors are more prone to sentiment.
Original languageEnglish
Publication dateSep 2018
DOIs
Publication statusPublished - Sep 2018
Event24th Annual Meeting of the German Finance Association (DGF) - Ulm, Germany
Duration: 6. Oct 20177. Oct 2017

Conference

Conference24th Annual Meeting of the German Finance Association (DGF)
CountryGermany
CityUlm
Period06/10/201707/10/2017

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Keywords

  • Asset allocation

Cite this

Kostopoulos, D., & Meyer, S. (2018). Google Search Volume and Individual Investor Trading. Paper presented at 24th Annual Meeting of the German Finance Association (DGF), Ulm, Germany. https://doi.org/10.2139/ssrn.2818939