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הביקוש למידע ע"י משקיעים קמעונאיים וביצועי השוק- פרספקטיבה בינלאומית.

By מאהר זועבי
Location אוניברסיטת חיפה, בניין רבין, החוג לכלכלה, חדר סימינרים 7054
Academic Program:
Monday 05 June 2017, 12:00 - 13:00

Individual investors use to seek financial information online, because professionals such as institutional investors have access to commercial information vendors such as Bloomberg, FactSet and Reuters. Intuitively, individuals who are willing to increase their financial knowledge before acting, and maybe to avoid the risks associated with uncertain decisions, will, most likely, browse a domestic financial website in order to obtain the needed information.

Reports from the search engines industry indicate that Google’s share of search queries as of 2016 has exceeded 75% of the US, as well as the global, search market. In addition, recent studies report the successful use of Google search volume data in forecasting concerns about various issues.

Individual investors who Google their queries are of interest in this study. We build upon the evidence documented in the literature that Google’s search volume index (SVI) captures the attention of retail investors. However, instead of measuring their attention to a group of stocks, as the majority of the previous works in this emerging literature have done, we track the attention that investors paid to popular financial websites. The novelty of this approach stems from the recognition that the flow of financial information, both at the firm level and with regard to the entire economy, is covered mainly by financial websites. Hence, it is reasonable to assume that the traffic on financial websites is more precise in capturing the retail investors’ attention in browsing these websites. In order to determine the most popular financial websites for each country, we used the Alexa website (, which provides web traffic data and ranks the popularity of other websites within a country and worldwide.

We base our analysis on studies from the economic psychology field. These studies provide theoretical and empirical evidences that consumers increase search in response to greater price uncertainty. Furthermore, risk-averse investors should demand more information than risk-seeking or risk-neutral investors should. Given these insights, we attempt to investigate the inter-relationship between the demand for information and the variables of the capital market.

Our data covers the period 2004 until February 2016. We use daily Internet search queries for the leading financial websites in 41 countries as a proxy for the demand for information. Information about Google search queries comes from the Google Trends website (, which provides data on the number of searches on any particular word from January 2004 to the present. We also collected market data for 41 countries from Bloomberg. The market data include daily close prices, intraday high and low observed prices, and daily trading volume.

We determine that searching for financial websites is positively correlated with market shocks and uncertainty. More specifically, we find that market returns, trading volume and shocks, captured by several volatility proxies, Granger-cause attention to financial websites, and a heightened number of searches predicts an increase in the following trading day’s volatility. In accordance with the leverage effect, the attention that individual investors pay to financial websites varies depending on the direction of the change in market returns. In addition, the day of the week affects the search for information, which is higher on Mondays and Tuesdays and lower on weekends. Consistent with the view that some retail investors are noise traders, we document that retail attention to financial websites has a positive effect on volatility and causes increases in trading volume.