Predicting Power of Ticker Search Volume in Indian Stock Market

Abstract

This study examines the ability of online ticker searches to serve as a valid proxy for investor sentiment and forecast stock returns and trading volumes in the Indian financial market. In contrast to the common findings, we observe that ticker search volumes do not exhibit any predictive value for future excess stock returns. However, we find a weak but significant positive effect of ticker search volumes on trading volume with a two-week lag. A battery of robustness checks supports our findings. Our work warns the investors from possible misleading insights arising from search volume and stock returns related studies.