| Author(s): |
prof. PhDr. Ladislav Krištoufek Ph.D.,
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| Type: |
Articles in journals with impact factor |
| Year: |
2015 |
| Number: |
0 |
| ISSN / ISBN: |
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| Published in: |
Physica A: Statistical Mechanics and Its Applications 428, pp. 194-205 arXiv PDF |
| Publishing place: |
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| Keywords: |
online searches, Google Trends, long-term memory, cross-correlations, volatility, traded volume |
| JEL codes: |
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| Suggested Citation: |
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| Grants: |
GAČR 14-11402P Bivariate long memory analysis of financial time series (2014-2016)
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| Abstract: |
We study power-law correlations properties of the Google search queries for Dow Jones Industrial Average (DJIA) component stocks. Examining the daily data of the searched terms with a combination of the rescaled range and rescaled variance tests together with the detrended fluctuation analysis, we show that the searches are in fact power-law correlated with Hurst exponents between 0.8 and 1.1. The general interest in the DJIA stocks is thus strongly persistent. We further reinvestigate the cross-correlation structure between the searches, traded volume and volatility of the component stocks using the detrended cross-correlation and detrending moving-average cross-correlation coefficients. Contrary to the universal power-law correlations structure of the related Google searches, the results suggest that there is no universal relationship between the online search queries and the analyzed financial measures. Even though we confirm positive correlation for a majority of pairs, there are several pairs with insignificant or even negative correlations. In addition, the correlations vary quite strongly across scales. |
