Can Google Predict the Stock Return in Taiwan?

• Main Authors: Chung-Hong Huang, 黃浚紘
• Other Authors: 胡星陽
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/74834594259567978386

碩士 === 國立臺灣大學 === 財務金融學研究所 === 101 === Google released the Google Trends services in May 2006 and it enable user to see the search volume index for any given term. Since the service was released, it has gradually been incorporated into academic research from various fields such as Medication, Economic and Finance. Most of the study regards search volume index as a proxy of attention and use it to see if the proxy have predictive power or not. The purpose of this study is to analyze how search volume index affect stock price in Taiwan. The results indicate that the search volume index does have predictive power over the next week stock price. On average, 1 standard deviation increased in abnormal search volume index will raises abnormal return next week by 7.11 basis points.