Google trends search query and islamic stock indices: an analysis of their lead-lag relationship based on the Malaysian data

Li Mei Tew and Abul Masih

MPRA Paper from University Library of Munich, Germany

Abstract: This paper seeks to analyze the lead-lag relationship between Google trends and Islamic Stock Index prices for the case of Malaysia. In recent years, huge data uploaded and shared in the internet everyday has made it a valuable information to understand the behavior of its users and it has been proven worthy by previous literature. The lag-behind of relevant empirical analysis on Islamic stock market is the gap that this paper aims to fill in. We adopt time series analysis to examine the relationships between two Shariah index prices (FTSE BM EMAS Shariah Index and FTSE BM HIJRAH Shariah index) with Google query search volume. In the end, we identify a two-way causality relationship between the Google Trends search query and Islamic stock Index Price and this paper also reveals immediate negative effect on two Shariah Index prices (EMAS, HIJRAH) in response to one standard deviation shock of Google trends search volume about International finance. Therefore, the finding of this paper suggests that Google trends constitute an important trading signal in Shariah stock investment.

Keywords: Islamic stock index prices; Google trends; lead-lag; Malaysia (search for similar items in EconPapers)
JEL-codes: C22 C58 E44 (search for similar items in EconPapers)
Date: 2018-05-28
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