Fractional differencing in stock market price and online presence of global tourist corporations

Francisco Flores-Muñoz, Alberto Javier Báez-García and Josué Gutiérrez-Barroso
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Francisco Flores-Muñoz: University of La Laguna, San Cristóbal de La Laguna, Spain
Alberto Javier Báez-García: Universidad de La Laguna, La Laguna, Spain
Josué Gutiérrez-Barroso: Universidad de La Laguna, La Laguna, Spain

Journal of Economics, Finance and Administrative Science, 2019, vol. 24, issue 48, 194-204

Abstract: This work aims to explore the behavior of stock market prices according to the autoregressive fractional differencing integrated moving average model. This behavior will be compared with a measure of online presence, search engine results as measured by Google Trends. Relationships between the two data sets are explored, with theoretical implications for the fields of economics, finance and management. Tourist corporations were analyzed owing to their growing economic impact. The estimations are initially consistent with long memory; so, they suggest that both stock market prices and online search trends deserve further exploration for modeling and forecasting. Significant differences owing to country and sector effects are also shown. This research contributes in two different ways: it demonstrates the potential of a new tool for the analysis of relevant time series to monitor the behavior of firms and markets, and it suggests several theoretical pathways for further research in the specific topics of asymmetry of information and corporate transparency, proposing pertinent bridges between the two fields.

Keywords: ARFIMA; Global corporations; Online search trends; Stock market behaviour (search for similar items in EconPapers)
JEL-codes: D82 E37 Z10 Z32 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:ris:joefas:0145

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