Measuring individual investors' speculative demand for stocks using the Google search volume index (hereafter “SVI”) on penny stocks, we examine how it relates to the return dynamics of U.S. stock indices. Speculative demand leads to a short-term return reversal. A simple trading strategy...

This paper focuses on the intraday behaviour of returns, volatility, volume and price reversals for the "Short Sterling" interest rate and "FTSE100" stock index futures contracts traded on the London International Financial Futures and Options Exchange (LIFFE). It also examines the effect of...