An encyclopedia for stock markets? Wikipedia searches and stock returns

Simon Behrendt, Franziska J. Peter and David J. Zimmermann

International Review of Financial Analysis, 2020, vol. 72, issue C

Abstract: We present empirical evidence that collective investor behavior can be inferred from large-scale Wikipedia search data for individual-level stocks. Drawing upon Shannon transfer entropy, a model-free measure that considers any kind of statistical dependence between two time series, we quantify the statistical information flow between daily company-specific Wikipedia searches and stock returns for a sample of 447 stocks from 2008 to 2017. The resulting stock-wise measures on information transmission are then used as a signal within a hypothetical trading strategy. The results evidence the predictive power of Wikipedia searches and are in line with the previously documented notion of buying pressure revealed by online investor attention and the trading patterns of retail investors.

Keywords: Wikipedia; Stock market; Investor behavior; Transfer entropy (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302076

DOI: 10.1016/j.irfa.2020.101563

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