EAN: 9783959345972

BIG DATA INVESTMENTS EFFECTS OF INTERNET SEARCH...

In recent years  the internet has developed very quickly and became a major source of
information all over the planet. Many scientists have used search engine query data to forecast
econometric time series like consumer confidence indicators  unemployment rates  retail sales 
house price indices  stock prices  volatility of stocks and even commodity prices. Following
the prior research this study analyzes the impact of internet search engine data on capital
markets. Many authors already have contributed to index level data and most of them on the US
market. This study adds to the existing literature on the German stock market. Two research
questions are answered: First  whether an increase in search queries drives individual stock
returns and second  whether queries affect the implied volatility of stock options. After
controlling for seasonality  autocorrelation and general market risk  in the further analysis
also the Price-to-Book valuation  one year performance and historical volatility are examined
in interaction with internet search queries.

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