Are stock markets efficient with respect to the Google search volume index? A robustness check of the literature studies

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2024-09-11 DOI:10.1016/j.ribaf.2024.102574

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引用次数: 0

Abstract

The Efficient Market Hypothesis (EMH) is still a debated subject in the financial area. Particularly, no conclusions are drawn to date in link with the Google Search Volume Index (GSVI). To conclude on this question, our paper takes up the work of Škrinjarić (2019) by proposing robustness tests, various econometric improvements and the inclusion of additional explanatory variables. On a database of ten emerging European indices studied by Škrinjarić (2019), a dynamic panel model was applied. Unlike Škrinjarić (2019) who modeled the time-series separately and thus neglected any possible dependence or homogeneity between countries, our study operates within the framework of panel data. Drawing from a robust estimation approach, our findings indicate that the GSVI has no impact on market returns. In essence, this suggests that internet search queries fail to provide avenues for investors to seize arbitrage opportunities. Such findings support the EMH in the studied markets and underline the exposure of prior studies to robustness challenges.

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股票市场对谷歌搜索量指数有效吗？文献研究的稳健性检验

有效市场假说（EMH）在金融领域仍是一个争论不休的话题。特别是，迄今为止尚未得出与谷歌搜索量指数（GSVI）相关的结论。为了就这一问题得出结论，我们的论文继承了 Škrinjarić （2019 年）的研究成果，提出了稳健性测试、各种计量经济学改进方法并加入了额外的解释变量。在Škrinjarić（2019 年）研究的十个新兴欧洲指数数据库中，应用了动态面板模型。Škrinjarić（2019 年）对时间序列进行了单独建模，因此忽略了国家间可能存在的依赖性或同质性，而我们的研究则与之不同，是在面板数据框架内进行的。通过稳健的估计方法，我们的研究结果表明，GSVI 对市场回报率没有影响。从本质上讲，这表明互联网搜索查询未能为投资者提供抓住套利机会的途径。这些研究结果支持了所研究市场的 EMH，并强调了先前研究面临的稳健性挑战。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance