Internet Search Volume and Stock Return Volatility: The Case of Turkish Companies
Abstract
This study analyzes the relationship of the volatility ofstock returns and internet search volume (ISV). The dataset consists of 10 Turkish companies listed on the BIST-100 Index of Borsa Istanbul, and encompasses the period between January 2004 - September 2013. The GARCH (1,1) model is applied with two alternative mean specifications. The use of the novel exogenous variable ISV as proxy for investor sentimentis complemented through the inclusion of trading volume.Results show that as the GARCH (1,1) model becomes increasingly nested, volatility persistence declines with however no case of a vanishing G(ARCH) effect.Downloads
Copyright (c) 2014 Information Management and Business Review
This work is licensed under a Creative Commons Attribution 4.0 International License.
Author (s) should affirm that the material has not been published previously. It has not been submitted and it is not under consideration by any other journal. At the same time author (s) need to execute a publication permission agreement to assume the responsibility of the submitted content and any omissions and errors therein. After submission of revised paper in the light of suggestions of the reviewers, the editorial team edits and formats manuscripts to bring uniformity and standardization in published material.
This work will be licensed under Creative Commons Attribution 4.0 International (CC BY 4.0) and under condition of the license, users are free to read, copy, remix, transform, redistribute, download, print, search or link to the full texts of articles and even build upon their work as long as they credit the author for the original work. Moreover, as per journal policy author (s) hold and retain copyrights without any restrictions.
