This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger...

In recent years, exchange-traded fund (ETF) markets have grown exponentially due to their rising popularity amongst retail investors with a preference for passive investments. However, the effect of this rising popularity on the performance of ETF markets remains understudied. Therefore, the...

This research examines whether Google search volume index (GSVI), a proxy of investor attention, can predict the excess returns and abnormal trading volumes of TPEx 50 index constituents. It also explores the motive underlying GSVI based on positive or negative shocks to stock prices. The...

We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock...

The paper demonstrates the power of alternative data. Relying on the indicators obtained by mining online publicly available news articles, authors analyze their impact on Bitcoin returns. This research shows that in the first quarter of 2022 Bitcoin returns could be explained by the sentiment...

Stock market prediction has always caught the attention of many analysts and researchers. Popular theories suggest that stock markets are essentially a random walk and it is a fool’s game to try and predict them. Predicting stock prices is a challenging problem in itself because of the number...

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

The purpose of this research is to examine the impact of sentiment derived from news headlines on the direction of stock price changes. The study examines stocks listed on the WIG-banking sub-sector index on the Warsaw Stock Exchange. Two types of data were used: textual and market data. The...