شدت جستجوی گوگل و رابطه آن با بازده و حجم معاملات سهام ژاپنی

This study examines the relationship between online search intensity and stock-trading behavior in the Japanese market. The search intensity is measured by the search volume of company names on Google. Our sample consists of 189 Japanese stocks searched between 2008 and 2011. We find correlations with search intensity that are strongly positive for trading volume and weakly positive for stock returns. Our results are consistent with the notion that the increase in search activity is associated with increases in trading activity, but the probability that this increase in trading raises stock prices is not high.

The purpose of this study is to examine the relationship between investors’ attention and asset prices using Japanese data. Traditionally, many asset-pricing models are based on the efficient market hypothesis. In an efficient market, market prices reflect all available information (Fama 1976). However, in the real world, investors do not always have access to all information but only the limited information they are interested in because attention is a scarce cognitive activity (Kahneman 1973). This fact may undermine the efficient market hypothesis and invites the question of whether and to what extent market prices reflect investors’ interests. According to Merton (1987), investors’ attention is related to the determination of stock prices and liquidity. However, it is difficult to measure the degree of investors’ attention. In the present study, we use Google Trends, a public online service based on Google Search, one of the top Internet search engines.1 Google Trends shows how frequently a particular word is searched relative to the total volume of searches in specified periods and locations. Recent empirical finance literature has documented that the search intensity obtained by Google Trends is positively related to stock returns and trading volume (Da et al. 2011; Joseph et al. 2011; Bank et al. 2011; Vlastakis and Markellos 2012), supporting the “price pressure hypothesis” or “attention theory” proposed by Barber and Odean (2008).2 The present study complements these prior studies by examining the relationship between search intensity and stock-trading behavior in the Japanese market. We find that search intensity correlates significantly and positively with stock prices and trading volume. However, the significance level is stronger for trading volume than for stock prices. That is, the increase in search activity is strongly associated with the increase in trading volume, but the probability that this trading raises stock prices is not as high as that indicated by results provided by prior studies using U.S. data. Our results indicate that the applicability of the “price pressure hypothesis” may depend on circumstances and market conditions. The rest of this article is organized as follows. Section 2 provides a literature review and background information. Sections 3 and 4 explain our methodology and data. Section 5 discusses empirical results. Concluding remarks are provided in Section 6.