Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components

0452317 - ÚTIA 2016 RIV NL eng J - Článek v odborném periodiku
Krištoufek, Ladislav
Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components.
Physica. A : Statistical Mechanics and its Applications. Roč. 428, č. 1 (2015), s. 194-205. ISSN 0378-4371. E-ISSN 1873-2119
Grant CEP: GA ČR(CZ) GP14-11402P
Institucionální podpora: RVO:67985556
Klíčová slova: Online searches * Google Trends * Long-term memory * Cross-correlations * Volatility * Traded volume
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 1.785, rok: 2015
http://library.utia.cas.cz/separaty/2015/E/kristoufek-0452317.pdf

We study power-law correlations properties of the Google search queries for Dow Jones Industrial Average (DJIA) component stocks. Examining the daily data of the searched terms with a combination of the rescaled range and rescaled variance tests together with the detrended fluctuation analysis, we show that the searches are in fact power-law correlated with Hurst exponents between 0.8 and 1.1. The general interest in the DJIA stocks is thus strongly persistent. We further reinvestigate the cross-correlation structure between the searches, traded volume and volatility of the component stocks using the detrended cross-correlation and detrending moving-average cross-correlation coefficients. Contrary to the universal power-law correlations structure of the related Google searches, the results suggest that there is no universal relationship between the online search queries and the analyzed financial measures. Even though we confirm positive correlation for a majority of pairs, there are several pairs with insignificant or even negative correlations. In addition, the correlations vary quite strongly across scales.
Trvalý link: http://hdl.handle.net/11104/0253708