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Google search intensity and its relationship to the returns and liquidity of Japanese startup stocks

Yuta Adachi, Motoki Masuda and Fumiko Takeda

Pacific-Basin Finance Journal, 2017, vol. 46, issue PB, 243-257

Abstract: This study investigates the relationship between investor attention and stock price movements in Japan's startup stock exchanges, Mothers and JASDAQ. We find a positive relationship between search intensity and stock returns and between search intensity and liquidity. The positive correlation between search intensity and stock returns/liquidity tends to be larger for startup firms with a high proportion of individual shareholders. Contrary to prior studies that have reported a reversal after an immediate stock price increase, our results show the possibility that an immediate increase in stock returns of startup firms may not be neutralized in the long run.

Keywords: Attention; Stock price; Trading volume; Behavioral finance; Investor sentiment (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:46:y:2017:i:pb:p:243-257

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