The Effect of Google Search Volume Index on the Stock Market Excess Returns. Evidence from Listed firms in Pakistan stock Exchange

Authors

  • Bushra Ayaz Islamia College University, Peshawar, Pakistan
  • Hamid Ullah Islamia College University, Peshawar, Pakistan
  • Muhammad Kamran Khan Bacha Khan University, Charsadda, Pakistan
  • Shahid Jan Islamia College University, Peshawar, Pakistan

DOI:

https://doi.org/10.47067/real.v4i1.108

Keywords:

Google Search volume index, Predictability, Stock Returns, Stock Market Efficiency

Abstract

The aim of this study is to examine whether google search volume index (GSVI) as a tool of investor’s attentions can be of great used to forecast stock returns. In this paper we answer the question whether “price pressure hypothesis “would hold true for Pakistan stock markets. The nature of current study is quantitative in nature and research design is used to test the hypothesis developed to examine google search volume index and stocks return behavior. We used balanced panel data for the period from 2003 to 2019 for companies listed in Pakistan stock exchange. In this paper, we use regression technique for econometrics estimation. The results showed that high and a positive return is associated with high google search volume. To be more accurate, we can say that a google search volume index is an important and useful predictor for both the directions and magnitude of excess returns. We suggest that, this study will be helpful for the information of profitable trading strategies. With this study, we complement all previous work done in developed countries on the correlation between stock trading behavior and search intensity by using more robust statistical techniques and large sample size.

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Published

2021-03-20

How to Cite

Ayaz , B. ., Ullah, H. ., Khan, M. K. ., & Jan , S. . (2021). The Effect of Google Search Volume Index on the Stock Market Excess Returns. Evidence from Listed firms in Pakistan stock Exchange. Review of Education, Administration & LAW, 4(1), 23-35. https://doi.org/10.47067/real.v4i1.108