Google search volume and individual investor trading

被引：32
|
作者：
Kostopoulos, Dimitrios [1 ]
Meyer, Steffen [2 ,3 ]
Uhr, Charline [4 ,5 ]
机构：
[1] Univ Southern Denmark SDU, Campusvej 55, DK-5230 Odense, Denmark
[2] Univ Southern Denmark, Dept Business & Econ, Campusvej 55, DK-5230 Odense, Denmark
[3] Danish Finance Inst, Campusvej 55, DK-5230 Odense, Denmark
[4] Goethe Univ, Theodor W Adorno Pl 3, D-60323 Frankfurt, Germany
[5] Goethe Univ Frankfurt, Leibniz Inst Financial Res SAFE, Theodor W Adorno Pl 3, D-60323 Frankfurt, Germany
来源：
JOURNAL OF FINANCIAL MARKETS | 2020年 / 49卷
关键词：
Individual investor; Trading behavior; Investor sentiment; SENTIMENT; HETEROSKEDASTICITY; RISK;
D O I：
10.1016/j.finmar.2020.100544
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We relate Google search volumes, which are a proxy for the economic concerns of households (the FEARS index), to the trading behavior of approximately 100,000 individual German online-brokerage clients. We find that when the FEARS index is high, individual investors trade out of risky assets. Additionally, we find that the FEARS index has a negative short-horizon relation to stock market returns, which reverses over the following six days. This shows that the effect of economic concerns on the market is temporary, whereas on individual investors, the effect does not reverse within the next 20 days. In addition, we find that less sophisticated investors are more prone to sentiment. (C) 2020 Elsevier B.V. All rights reserved.
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页数：21
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