Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/52239
Authors: 
Dimpfl, Thomas
Jank, Stephan
Year of Publication: 
2011
Series/Report no.: 
University of Tübingen working papers in economics and finance 18
Abstract: 
This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches. Using the latter feedback effect to predict volatility we find that search queries contain additional information about market volatility. They help to improve volatility forecasts in-sample and out-of-sample as well as for different forecasting horizons. Search queries are particularly useful to predict volatility in high-volatility phases.
Subjects: 
realized volatility
forecasting
investor behavior
noise trader
search engine data
JEL: 
G10
G14
G17
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
485.32 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.