From a University of Kansas Story:
New research by a team of researchers at the KU School of Business demonstrates that online ticker searches – for example, “XOM” for Exxon Mobil – can predict abnormal stock returns and trading volumes during the subsequent week. The research also shows that highly volatile stocks will be more sensitive to online search intensity than less volatile stocks.
The research was conducted by Kissan Joseph, associate professor of marketing; Jide Wintoki, assistant professor of finance; and Zelin Zhang, doctoral candidate in marketing, all at the KU School of Business. Their results will appear in an upcoming issue of the International Journal of Forecasting.
“There’s growing evidence in various disciplines that online search data can predict behavior,” Joseph said. “We’ve demonstrated that search engine data – the kind you can easily retrieve from Google Insights for Search, for example – is a reliable predictor of stock returns and trading volumes, especially for volatile stocks whose true value is hard to gauge.”
See Also: Here’s a Preprint of the Full Text Research Paper
Joseph, Kissan, Jide Wintoki, and Zelin Zhang (2011), “Forecasting Abnormal Stock Returns and Trading Volume Using Investor Sentiment: Evidence from Online Search,” Forthcoming, International Journal of Forecasting.
See Also: Google Insights for Search