Can Internet Search Queries Help to Predict Stock Market Volatility?

We study the dynamics of stock market volatility and retail investors' attention to the stock market. The latter is measured by internet search queries related to the leading stock market index. We find a strong co‐movement of the Dow Jones' realised volatility and the volume of search que...

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Veröffentlicht in:	European financial management : the journal of the European Financial Management Association 2016-03, Vol.22 (2), p.171-192
Hauptverfasser:	Dimpfl, Thomas, Jank, Stephan
Format:	Artikel
Sprache:	eng
Schlagworte:	Dow Jones Indexes Forecasting Internet investor behaviour limited attention noise trader realised volatility search engine data Search engines Securities markets Stock market indexes Studies Volatility
Online-Zugang:	Volltext
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