Is Big Brother Watching Us? Google, Investor Sentiment and the Stock Market

Francisca Beer (), Fabrice Herve and Mohamed Zouaoui ()
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Francisca Beer: California State University, San Bernardino
Mohamed Zouaoui: University of Burgundy, France

Economics Bulletin, 2013, vol. 33, issue 1, 454-466

Abstract: This paper proposes a novel measure of French investor sentiment based on the volume of internet search reported by Google Trends. We find that our sentiment indicator correlates well with alternative sentiment measures often used in the literature. Furthermore, we find that investor sentiment influences the behavior of mutual fund investors. The results also reveal evidence about short-run predictability in return. An increase in our sentiment index leads to short-term return reversal. The reversal pattern is more pronounced for smaller firms than larger firms, consistent with the predictions of noise trader's models.

Keywords: Google Trends; Investor sentiment; VAR model; Stock returns (search for similar items in EconPapers)
JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: 2013-02-21
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Citations: View citations in EconPapers (8)

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Working Paper: Is Big Brother Watching Us? Google, Investor Sentiment and the Stock Market (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-13-00050

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