The Impact of Google Searches, Put-Call Ratio, and Trading Volume on Stock Performance Using Wavelet Coherence Analysis: The AMC Case

Evangelos Vasileiou and Polydoros Tzanakis

Journal of Behavioral Finance, 2024, vol. 25, issue 1, 111-119

Abstract: In 2021, meme stocks attracted the attention of investors and scholars. Using Wavelet Coherence analysis, we test the dynamic interdependence between the AMC Theaters stock performance and the explanatory factors of Google Trends index, Put-Call ratio, and Trading Volume for the period 2018-2021. Our empirical findings suggest that during 2018-2020 the examined variables do not have stable co-movements with the AMC returns, but in the growth year of 2021 the relationships amongst the variables are stable and statistically significant. Thus, wavelet analysis is a useful tool that shows dynamically the impact relationships between several factors and the stock prices. Particularly, in 2021 the skyrocketing increase of the AMC stock price caught the attention of market participants and the AMC returns lead the Google searches with an in-phase synchronization (positive correlation). Moreover, AMC returns lead the Put-Call ratio, which is a sentiment indication from the derivatives market, and the Trading Volume positively correlates with the stock returns reconfirming once again the theoretical price-volume relation.

Date: 2024
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DOI: 10.1080/15427560.2022.2100384

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