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عنوان فارسی مقاله:
اثرات مختلف اخبار محرک و ابتکاری حجم جستجو بر قیمت سهام
عنوان انگلیسی مقاله:
The different impacts of news-driven and self-initiated search volume on stock prices
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مقدمه انگلیسی مقاله:
1. Introduction
In this big data era, information plays the most important role. Data generated from social media, Internet search, and click stream grow exponentially. The rapid expansion of online-generated content creates many opportunities for both industry and academic research [29,18]. The most significant application of big data should be Internet finance, which has commercialized the online posts and searches to select stocks. Big data are closely related to investors, companies, and stock market. The wisdom of crowds based on massive information has great power and possibility of influencing the financial market [7]. The usage and popularity of social media such as Twitter, Facebook, and Wikipedia has changed investors, companies, and stock market considerably in recent years. For instance, to companies, the usage of social media is associated with firm equity value; the transformative power of social media is crucial to company development [23]. To investors, the usage of Twitter can significantly reduce the information asymmetry and is associated with lower abnormal bid–ask spreads [6,9]. To the stock market, Wikipedia can improve the information environment in the financial market and moderate the timing of managers’ voluntary disclosure of companies’ bad news [34,33]. Furthermore, taking advantage of big data, Da et al. [8] collected the search volume data for Russell 3000 stocks from Google Trends and found “An increase in search volume index (SVI) predicts higher stock prices in the next 2 weeks.” Subsequently, many studies further confirmed this conclusion [11,19,32]. Investors in the financial market have limited attention, and attention allocation has a profound impact on asset prices. An important step in empirically examining the impact of attention on prices is to measure investor attention in a direct and timely manner. Recent work has shown that Internet search frequency can achieve such an objective. The most commonly used Internet search frequency is the SVI from Google Trends, especially after Da et al. [8] showed that SVI can directly measure the attention of retail investors and predict short-term stock returns. However, Internet searches under different circumstances do not guarantee equal attention. This is especially true when there is an overabundance of information, which can lead to scarcity in attention. Searches prompted by news headlines differ from searches motivated by research for trading ideas in the likelihood that attention will lead to action. News-driven search volume can be generated when there has been a news release, for example, earning announcements, mergers and acquisitions, and even rumors [2]. Many studies show that stocks with no media coverage earn higher returns than stocks with high media coverage [12,31,30,5]. Thus, news-driven search volume is more likely to induce lower returns. Self-initiated search volume is usually conducted by the investors who are searching for information to trade. As compared with news-driven search volume, which is passive, self-initiated search volume is more likely to generate buy pressure as initiative searching shows a demand for investment. Thus, different types of searches may have different impacts on * Corresponding author. stock prices. It is therefore an important exercise to explore the heterogeneity of Internet search and investigate its varying impact on the asset prices. Only when investors pay attention to the massive information can it influence the financial market. The current studies further confirmed the impact of investor attention on the stock market by virtue of big data; this is the first step as information is worthless without attention. However, an implicit assumption in existing studies is that investor attention (measured by proxies such as search volume) under different situations is supposed to be identical or equal. Our study extends the current studies to the second step, in search of attention heterogeneity, and contributes to the knowledge of how investors treat information differently under different situations: the same amount of search volume performed under different situations captures distinct attention, and results in different decision-making processes. In this study, we set out to distinguish news-driven search volume from self-initiated search volume, and explored the moderating effect of media coverage. Here, we choose China’s stock market and Baidu Index as our research sample for at least three advantages. First, the stock tickers in China are chosen to be unique (Chinese stock tickers are composed of six digits, defined as unique; searching for a six-digit stock code through Baidu is absolutely for the corresponding stock). Second, China’s stock market has a higher proportion of retail investors than the US stock market; thus, it is better to explore the individual investor’s behavior. Third, Baidu Index offers the online media coverage index (MCI) of each search term, which is more appropriate than the traditional newspaper news when studying the online search frequency, as online searching is more likely to be influenced by online news rather than the newspaper news. By contrast, Google Trends only offers the SVI of each search term and does not provide the online MCI (see Figs. 1 and 2).
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کلمات کلیدی:
DBLP: Qiang Ye dblp2.uni-trier.de/pers/hc/y/Ye:Qiang Feb 27, 2017 - Xianwei Liu, Qiang Ye: The different impacts of news-driven and self-initiated search volume on stock prices. Information & Management 53(8): ... Information in Option Volume for Future Stock Prices | The Review of ... rfs.oxfordjournals.org/content/19/3/871.short by J Pan - 2006 - Cited by 548 - Related articles Feb 17, 2006 - Taking advantage of a unique data set, we construct put-call ratios from option volume initiated by buyers to open new positions. Stocks with ... Changes in Investors' Market Attention and Near-Term Stock Market ... https://modirio.com › کتابخانه Translate this page Rating: 5 - 128 reviews abstract: We use Google Search volume to track changes investors' positive and ... impacts of news-driven and self-initiated search volume on stock prices. Business Volume Analyst at CSRA https://jobs.csra.com/job/falls-church/business-volume-analyst/3983/4395276 1 day ago - Develop and maintain Cost/Price Volume template language to be used for most standard Cost Volumes ... Assignments are often self-initiated.
