Predicting power of ticker search volume in Indian stock market

IF 1.7 Q3 MANAGEMENT IIMB Management Review Pub Date : 2022-06-01 DOI:10.1016/j.iimb.2022.07.003

Ishani Chaudhuri, Parthajit Kayal

引用次数: 0

Abstract

This study examines the ability of online ticker searches to serve as a valid proxy for investor sentiment and forecast stock returns and trading volumes in the Indian financial market. In contrast to the findings in prior research, we observe that ticker search volumes do not exhibit any predictive value for future excess stock returns. However, we find a weak but significant positive effect of ticker search volumes on trading volume with a two-week lag. A battery of robustness checks supports our findings. Our work warns the investors from possible misleading insights arising from search volume and stock returns related studies.

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印度股市行情搜索量的预测能力

本研究考察了在线报价搜索作为投资者情绪和预测股票回报和交易量在印度金融市场的有效代理的能力。与之前的研究结果相反，我们观察到股票报价搜索量对未来超额股票回报没有任何预测价值。然而，我们发现股票搜索量对交易量的微弱但显著的正影响具有两周的滞后。一系列稳健性检验支持了我们的发现。我们的工作警告投资者，从搜索量和股票回报相关研究中可能产生的误导性见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

IIMB Management Review MANAGEMENT-

CiteScore

3.20

自引率

5.90%

发文量

审稿时长

68 days

期刊介绍： IIMB Management Review (IMR) is a quarterly journal brought out by the Indian Institute of Management Bangalore. Addressed to management practitioners, researchers and academics, IMR aims to engage rigorously with practices, concepts and ideas in the field of management, with an emphasis on providing managerial insights, in a reader friendly format. To this end IMR invites manuscripts that provide novel managerial insights in any of the core business functions. The manuscript should be rigorous, that is, the findings should be supported by either empirical data or a well-justified theoretical model, and well written. While these two requirements are necessary for acceptance, they do not guarantee acceptance. The sole criterion for publication is contribution to the extant management literature.Although all manuscripts are welcome, our special emphasis is on papers that focus on emerging economies throughout the world. Such papers may either improve our understanding of markets in such economies through novel analyses or build models by taking into account the special characteristics of such economies to provide guidance to managers.

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