Googling investor sentiment around the World

Zhenyu Gao; Haohan Ren; Bohui Zhang

doi:10.1017/S0022109019000061

Googling investor sentiment around the World

Zhenyu Gao, Haohan Ren, Bohui Zhang

Research output: Contribution to journal › Article › peer-review

97 Citations (Scopus)

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.

Original language	English
Pages (from-to)	549 - 580
Number of pages	32
Journal	Journal of Financial and Quantitative Analysis
Volume	55
Issue number	2
DOIs	https://doi.org/10.1017/S0022109019000061
Publication status	Published - Mar 2020
Externally published	Yes

Access to Document

10.1017/S0022109019000061

Cite this

@article{8ca03f247418482f9de8b5981fe80849,

title = "Googling investor sentiment around the World",

abstract = "We study how investor sentiment affects stock prices around the world. Relying on households{\textquoteright} 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.",

author = "Zhenyu Gao and Haohan Ren and Bohui Zhang",

year = "2020",

month = mar,

doi = "10.1017/S0022109019000061",

language = "English",

volume = "55",

pages = "549 -- 580",

journal = "Journal of Financial and Quantitative Analysis",

issn = "0022-1090",

publisher = "University of Washington Press",

number = "2",

}

TY - JOUR

T1 - Googling investor sentiment around the World

AU - Gao, Zhenyu

AU - Ren, Haohan

AU - Zhang, Bohui

PY - 2020/3

Y1 - 2020/3

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=85059947643&partnerID=8YFLogxK

U2 - 10.1017/S0022109019000061

DO - 10.1017/S0022109019000061

M3 - Article

SN - 0022-1090

VL - 55

SP - 549

EP - 580

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

IS - 2

ER -

Googling investor sentiment around the World

Abstract

Access to Document

Other files and links

Fingerprint

Cite this