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The use of open source internet to analysis and predict stock market trading volume

Faten Moussa, Olfa BenOuda and Ezzeddine Delhoumi

Research in International Business and Finance, 2017, vol. 41, issue C, 399-411

Abstract: The objective of this paper is to evaluate the impact of information demand and supply on stock market trading volume. Few studies have demonstrated the role of Google search data in analyzing trading volume activity. In this study, we employ a proxy for information demand which is derived from weekly internet search volume. The latest is from Google Trends database, for 25 of the largest stocks traded on CAC40 index, between April 2007 and March 2014. We use news headlines as a proxy for information supply. We use Garch model to analyze and predict trading volume.

Keywords: GARCH model; Google Trends database; Information demand; Information supply; Multiple correspondence analysis (MCA); Chow structural break test (search for similar items in EconPapers)
JEL-codes: C32 D83 G12 G14 (search for similar items in EconPapers)
Date: 2017
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