Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/340309 
Authors: 
Year of Publication: 
2022
Citation: 
[Journal:] Borsa İstanbul Review [ISSN:] 2214-8469 [Volume:] 22 [Issue:] 4 [Year:] 2022 [Pages:] 812-827
Publisher: 
Elsevier, Amsterdam
Abstract: 
This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks within the resultant clusters. This comovement is linked but not entirely explained by the similarity of prominent determinants in which pairs of stocks are connected through shared mutual fund holdings, industries, and companies’ locations. This evidence suggests this comovement is in excess of what rational sources predict and the findings have important implications for portfolio optimization.
Subjects: 
Comovement
Correlated information consumption
Google Co- Search
Investor attention
Network analysis
JEL: 
G11
G12
G14
G40
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
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