Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/194732
Authors: 
Habibah, Ume
Rajput, Suresh
Sadhwani, Ranjeeta
Year of Publication: 
2017
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 5 [Year:] 2017 [Issue:] 1 [Pages:] 1-15
Abstract: 
This study aims at comparing Google Search Volume Indices (GSVIs-including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger cause the GSVIs more robustly. In addition, in vector auto-regression model, VIX has more prominent effect of its past values on both Google indices. Finally, using the autoregressive distributed lag (ARDL) and nonlinear ARDL models, contrary to prior literature, we find significant symmetric negative relationship between changes in VIX and S&P 500 returns.
Subjects: 
investors'pessimistic sentiments
Google Search Volume
ARDL
NARDL
stock market returns
volatility index
JEL: 
C22
G02
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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