Google Search Volume: Influence and Indication for the Dutch Stock Market

This paper studies the relationship between stock specific and market level internet search volume on stocks and the Dutch stock market, using the listed stocks in the AEX index. Internet search volume is obtained weekly from the Google Insights database for the period between January 2004 and April 2011. As introduced by earlier studies, internet searching activity is an adequate proxy for investor recognition and should therefore be relevant for modeling trading activity and stock activity. The results obtained show that Google search volume is significantly influential not only for the traded volume, but also the historical stock volatility. This significance is proven to be stable by means of a Quandt-Andrews breakpoint test.