Say anything you want about me if you spell my name right: the effect of Internet searches on financial market

Aleksandra Rutkowska , Agata Kliber

Abstract

In this paper, we focus on the influence of attention from investors on the dynamics of different financial assets. Investor attention is measured by the number of Google searches for three types of assets: stocks, gold and cryptocurrencies. We analyse the daily price of: the Standard & Poor’s 500 (S&P 500), the Russell 2000 Index (RUT), Bitcoin and the gold spot price in USD. The study covers a period of 5 years: 2013–2018. According to the results, the prices of different assets react differently to changes in the level of investor attention (and vice versa), and this relationship changes over time. Bitcoin seems to be the most sensitive to the changes in investor attention and changes in its dynamics appear to influence investor attention the most. Changes in the volatility and trade volume of stocks occur simultaneously with changes in investor interest. However, during periods of increased stock volatility, we can observe increased investor interest in gold over any other asset. The price of gold itself has proven itself to be most immune to changes in investor attention.
Author Aleksandra Rutkowska (WIiGE / KMS)
Aleksandra Rutkowska,,
- Department of Applied Mathematics
, Agata Kliber (WIiGE / KMS)
Agata Kliber,,
- Department of Applied Mathematics
Journal seriesCentral European Journal of Operations Research, ISSN 1435-246X, e-ISSN 1613-9178, (N/A 40 pkt)
Issue year2020
Nofirst online
Pages1-32
Publication size in sheets1.55
Keywords in Polishfinanse behawioralne, Google trendy, kryptowaluty, modele GARCH, przyczynowosc
Keywords in EnglishBehavioural finance, Google trends, Cryptocurrencies, GARCH models, Causality
ASJC Classification1803 Management Science and Operations Research
DOIDOI:10.1007/s10100-019-00665-6
URL https://link.springer.com/article/10.1007%2Fs10100-019-00665-6
Languageen angielski
Score (nominal)40
Score sourcejournalList
ScoreMinisterial score = 40.0, 26-06-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.914; WoS Impact Factor: 2018 = 1.26 (2) - 2018=1.179 (5)
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UwagiFirst online: Published: 02 January 2020
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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