Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/293922 
Year of Publication: 
2021
Citation: 
[Journal:] Credit and Capital Markets – Kredit und Kapital [ISSN:] 2199-1235 [Volume:] 54 [Issue:] 4 [Year:] 2021 [Pages:] 589-639
Publisher: 
Duncker & Humblot, Berlin
Abstract: 
As a result of technological innovations in data processing, the exploitation of Internet usage data in relation to search engines or social networks is becoming increasingly intriguing for understanding and anticipating stock market movements. We analyze the impact of three alternative investor attention variables, i.?e. Google search volume, Wikipedia page views, and stock market-relevant news on the rapidly growing FinTech sector. The result of the simultaneous correlation analysis reveals a highly significant correlation between the trading activities of the FinTech sector and the three investor attention variables. The time-delayed regression analysis complements the results by identifying substantial changes of the effects within one week considering the order of magnitude and sign. Furthermore, multivariate regression analysis highlights that the explanatory power for future stock trading activities and illiquidity primarily depends on Google search volume and stock market-relevant news volume, while the simultaneous correlations are best explained by the number of visits to the corresponding Wikipedia page.
Subjects: 
Capital Market Liquidity
Illiquidity
Internet Search
Media Attention
FinTech
JEL: 
L82
L86
D82
D83
G12
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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