Are stock markets efficient with respect to the Google search volume index? A robustness check of the literature studies

Sarra Ghaddab, Christian de Peretti () and Lotfi Belkacem
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Sarra Ghaddab: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, LAREMFIQ - Laboratory Research for Economy, Management and Quantitative Finance - Institut des Hautes Etudes Commerciales (Université de Sousse)
Christian de Peretti: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, ECL - École Centrale de Lyon - Université de Lyon
Lotfi Belkacem: LAREMFIQ - Laboratory Research for Economy, Management and Quantitative Finance - Institut des Hautes Etudes Commerciales (Université de Sousse)

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Abstract: The Efficient Market Hypothesis (EMH) is still a debated subject in the financial area. Particularly, no conclusions are drawn to date in link with the Google Search Volume Index (GSVI). To conclude on this question, our paper takes up the work of Škrinjarić (2019) by proposing robustness tests, various econometric improvements and the inclusion of additional explanatory variables. On a database of ten emerging European indices studied by Škrinjarić (2019), a dynamic panel model was applied. Unlike Škrinjarić (2019) who modeled the time-series separately and thus neglected any possible dependence or homogeneity between countries, our study operates within the framework of panel data. Drawing from a robust estimation approach, our findings indicate that the GSVI has no impact on market returns. In essence, this suggests that internet search queries fail to provide avenues for investors to seize arbitrage opportunities. Such findings support the EMH in the studied markets and underline the exposure of prior studies to robustness challenges.

Keywords: Market Efficiency; Google Search Volume Index; Market Returns; dynamic Panel; Heteroskedasticity; Cross-sectional Dependence (search for similar items in EconPapers)
Date: 2025-01
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Published in Research in International Business and Finance, 2025, 73, pp.102574. ⟨10.1016/j.ribaf.2024.102574⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04766286

DOI: 10.1016/j.ribaf.2024.102574

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