Googling Investor Sentiment around the World

Zhenyu Gao, Haohan Ren and Bohui Zhang

Journal of Financial and Quantitative Analysis, 2020, vol. 55, issue 2, 549-580

Abstract: We study how investor sentiment affects stock prices around the world. Relying on households’ Google search behavior, we construct a weekly measure of sentiment for 38 countries during 2004–2014. We validate the sentiment index in tests using sports outcomes and show that the sentiment measure is a contrarian predictor of country-level market returns. Furthermore, we document an important role of global sentiment in stock markets.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:55:y:2020:i:2:p:549-580_6

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