谷歌趋势如何改善市场预测——以华沙证券交易所为例

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-07-01 DOI:10.18559/ebr.2022.2.2

Paweł Kropiński, M. Anholcer

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引用次数: 3

摘要

摘要本文旨在研究WIG20指数与通过谷歌趋势搜索指数量化的经济政策不确定性(EPU)相关关键词之间的相互依赖关系。分别从2015年1月至2019年12月和2016年6月至2021年5月进行了两个阶段的测试。因此，从新冠疫情引发的经济冲击时期到政府的各种限制措施之后，出现了相对稳定的时期。对选定的搜索词和WIG20指数的值应用二元VAR模型。在使用AIC建立最优滞后数后，进行格兰杰因果检验。第二阶段的12个EPU相关术语与WIG20指数变化之间的经验关系得到了证实，而疫情前的6个术语之间的经验关系有所增强。新冠肺炎后，这种反向关系的强度有所增加。

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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How Google Trends can improve market predictions— the case of the Warsaw Stock Exchange

Abstract The aim of this paper is to investigate interdependencies between the WIG20 index and economic policy uncertainty (EPU) related keywords quantified by a Google Trends search index. Tests for two periods from January 2015 till December 2019 and from June 2016 till May 2021 have been performed. This allowed the period of relative stability from the time of economic shock caused by the COVID-19 pandemics followed by various restrictions imposed by the governments to be distinguished. A bivariate VAR model to selected search terms and the value of the WIG20 index was applied. After using AIC to establish the optimal number of lags the Granger causality test was performed. The increased empirical relationship has been confirmed between twelve EPU related terms and changes in the WIG20 index in the second period versus six terms for the pre-COVID period. It was also found that in the post-COVID period the intensity of reverse relations increased.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.