Googling Investor Sentiment around the World

Zhenyu Gao · Haohan Ren · Bohui Zhang

182 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

We study how investor sentiment affects stock prices around the world. Relying on households’ Google search behavior, we construct a weekly measure of sentiment for 38 countries during 2004–2014. We validate the sentiment index in tests using sports outcomes and show that the sentiment measure is a contrarian predictor of country-level market returns. Furthermore, we document an important role of global sentiment in stock markets.

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References

1990Noise Trader Risk in Financial Markets 2006Investor Sentiment and the Cross‐Section of Stock Returns 1995The Limits of Arbitrage 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market 2020Integración de los mercados financieros Latinoamericanos por medio de MILA 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION 2011In Search of Attention 2012Predicting the Present with Google Trends

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