Journal of Financial and Quantitative Analysis Vol. 55 No. 2 2020
Googling Investor Sentiment around the World
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.
- DOI
- 10.1017/s0022109019000061
- Volume
- 55
- Issue
- 2
- Pages
- 549-580
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref