Investor Pessimism and the German Stock Market: Exploring Google Search Queries. Issue 1 (24th May 2017)
- Record Type:
- Journal Article
- Title:
- Investor Pessimism and the German Stock Market: Exploring Google Search Queries. Issue 1 (24th May 2017)
- Main Title:
- Investor Pessimism and the German Stock Market: Exploring Google Search Queries
- Authors:
- Dimpfl, Thomas
Kleiman, Vladislav - Abstract:
- Abstract: We analyze the relationship of retail investor sentiment and the German stock market by introducing four distinct investor pessimism indices (IPIs) based on selected aggregate Google search queries. We assess the predictive power of weekly changes in sentiment captured by the IPIs for contemporaneous and future DAX returns, volatility and trading volume. The indices are found to have individually varying, but overall remarkably high explanatory power. An increase in retail investor pessimism is accompanied by decreasing contemporaneous market returns and an increase in volatility and trading volume. Future returns tend to increase while future volatility and trading volume decrease. The outcome is in line with the conjecture of correction effects. Overall, the results are well in line with modern investor sentiment theory.
- Is Part Of:
- German economic review. Volume 20:Issue 1(2019:Feb.)
- Journal:
- German economic review
- Issue:
- Volume 20:Issue 1(2019:Feb.)
- Issue Display:
- Volume 20, Issue 1 (2019)
- Year:
- 2019
- Volume:
- 20
- Issue:
- 1
- Issue Sort Value:
- 2019-0020-0001-0000
- Page Start:
- 1
- Page End:
- 28
- Publication Date:
- 2017-05-24
- Subjects:
- Investor pessimism -- Sentiment -- Google search queries -- LASSO -- Sparse PCA
Economics -- Periodicals
330 - Journal URLs:
- http://onlinelibrary.wiley.com/ ↗
http://www.blackwell-synergy.com/loi/geer ↗
http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1468-0475 ↗ - DOI:
- 10.1111/geer.12137 ↗
- Languages:
- English
- ISSNs:
- 1465-6485
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 4162.087000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 9402.xml