Stock market return predictability: Google pessimistic sentiments versus fear gauge

Stock market return predictability: Google pessimistic sentiments versus fear gauge

This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger cause...

Full description

Bibliographic Details
Main Authors: Ume Habibah, Suresh Rajput, Ranjeeta Sadhwani
Format: Article
Language:English
Published: Taylor & Francis Group 2017-01-01
Series:Cogent Economics & Finance
Subjects:
investors’ pessimistic sentiments
google search volume
ardl
nardl
stock market returns
volatility index
Online Access:http://dx.doi.org/10.1080/23322039.2017.1390897

Internet

http://dx.doi.org/10.1080/23322039.2017.1390897

Similar Items