Information demand and stock market liquidity: International evidence

Amal Aouadi (), Mohamed Arouri and David Roubaud ()
Additional contact information
Amal Aouadi: RIME-Lab - Recherche Interdisciplinaire en Management et Économie Lab - ULR 7396 - UA - Université d'Artois - Université de Lille

Post-Print from HAL

Abstract: The aim of this paper is to investigate whether information demand is a significant determinant of stock liquidity. For a large sample of 209 firms from 7 countries over the 2004–2014 period, we show that information demand, as proxied by daily search volume in Google, is positively associated with stock market liquidity. Most importantly, this relationship is found to be shaped by the firm's overall visibility and information asymmetry levels. We test the robustness of our results by employing different estimation methods and alternative proxies. Thus, it may be that investors and managers who are concerned with stock liquidity should consider investor information demand in addition to specific investment fundamentals.

Keywords: Information demand; Abnormal Google search volume; Financial markets; Stock market liquidity (search for similar items in EconPapers)
Date: 2018-04
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Published in Economic Modelling, 2018, 70, pp.194-202. ⟨10.1016/j.econmod.2017.11.005⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Information demand and stock market liquidity: International evidence (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02011044

DOI: 10.1016/j.econmod.2017.11.005

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().