Do online searches actually measure future retail investor trades?

Jessica de Castro and Pedro Piccoli

International Review of Financial Analysis, 2023, vol. 86, issue C

Abstract: Using the total daily amount traded exclusively by retail investors in the Brazilian stock market from 2018 to 2020, we find that online searches exhibit a strong association with the future trades of retail investors and that this relationship is observable under different market conditions. Moreover, we also document that the alternative approaches commonly used in the literature to capture investor attention with online searches, such as tickers versus company names, market index attention versus aggregated individual stock attention, or log-differences versus abnormal log-differences of search volumes, are all consistent measures to capture future investor trades. Overall, our findings strongly support the view that online searches are a coherent proxy for the presence of retail investors in the stock market.

Keywords: Investor attention; Online searches; Retail investors; Google trends (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000686

DOI: 10.1016/j.irfa.2023.102552

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