What are you searching for? On the equivalence of proxies for online investor attention

Simon Behrendt and Philipp Prange

Finance Research Letters, 2021, vol. 38, issue C

Abstract: Google searches for stock tickers and company-specific Wikipedia searches may provide reasonable proxies for latent investor attention that are easily accessible for both researchers and practitioners. We draw upon Shannon transfer entropy, a model-free measure that detects any statistical dependence between time series and allows us to infer the dominant direction of the information transfer, to investigate if these different online search queries provide equivalent proxies for online investor attention. Our results show that this is not the case when considering information-theoretical arguments. Moreover, some of the detected bi-directional information transfer is nonlinear.

Keywords: Google; Wikipedia; Online investor attention; Information transfer (search for similar items in EconPapers)
JEL-codes: C14 G15 G40 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310554

DOI: 10.1016/j.frl.2019.101401

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