Predicting Power of Ticker Search Volume in Indian Stock Market

Ishani Chaudhuri and Parthajit Kayal ()
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Ishani Chaudhuri: (Corresponding author), Madras School of Economics
Parthajit Kayal: (Corresponding author), Madras School of Economics

Working Papers from Madras School of Economics,Chennai,India

Abstract: This study examines the ability of online ticker searches to serve as a valid proxy for investor sentiment and forecast stock returns and trading volumes in the Indian financial market. In contrast to the common findings, we observe that ticker search volumes do not exhibit any predictive value for future excess stock returns. However, we find a weak but significant positive effect of ticker search volumes on trading volume with a two-week lag. A battery of robustness checks supports our findings. Our work warns the investors from possible misleading insights arising from search volume and stock returns related studies.

Keywords: Online Ticker; Google Search Volume; Stock Returns; Trading Volume (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2022-02
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Persistent link: https://EconPapers.repec.org/RePEc:mad:wpaper:2022-214

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