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The Effects of Google Search on Stock Returns, Volatility and Trading Volume,Evidence from Tehran Stock Exchange

Ebrahimi, Milad | 2020

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 53063 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Zamani, Shiva; Hagh-Panah, Farshad
  7. Abstract:
  8. The purpose of this study is to investigate the effect of Google search volume of trading tickers listed on the Tehran Stock Exchange, on volatility, abnormal returns, and trading volume. For this purpose, data related to the search volume as well as trading data for 22 trading tickers in the list of the 50 largest stock market companies from 2016 to 2020, has been extracted. After collecting data, the required calculations to estimate volatility and abnormal returns, as well as standardizing search volume and trading volume, are performed. Then the desired variables for all 22 selected tickers are placed in a data panel. Then, using the two main research models, descriptive and predictive models, the possibility of describing and predicting each of the mentioned financial variables using the search volume has been investigated. The coefficients of regression models are obtained using the data panel regression model, with a fixed firm effect. Also, using the forecasting model, the possibility of stimulating users' attention by changing abnormal returns has been investigated. The results show that Google search Volume has a significant explanatory and predictive effect on volatility and trading volume, but this effect is not significant for abnormal returns. In contrast, abnormal returns have a significant predictive effect on search volume. Also, the effect of users' search on the trading volume of retail and legal investors is different
  9. Keywords:
  10. Volatility ; Panel Data ; Tehran Stock Exchange ; Abnormal Return ; Google Search ; Trading Volume

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