Google search intensity and its relationship to the returns and liquidity of Japanese startup stocks

Yuta Adachi, Motoki Masuda, Fumiko Takeda

Research output: Contribution to journalArticlepeer-review

26 Citations (Scopus)

Abstract

This study investigates the relationship between investor attention and stock price movements in Japan's startup stock exchanges, Mothers and JASDAQ. We find a positive relationship between search intensity and stock returns and between search intensity and liquidity. The positive correlation between search intensity and stock returns/liquidity tends to be larger for startup firms with a high proportion of individual shareholders. Contrary to prior studies that have reported a reversal after an immediate stock price increase, our results show the possibility that an immediate increase in stock returns of startup firms may not be neutralized in the long run.

Original languageEnglish
Pages (from-to)243-257
Number of pages15
JournalPacific Basin Finance Journal
Volume46
DOIs
Publication statusPublished - 2017 Dec
Externally publishedYes

Keywords

  • Attention
  • Behavioral finance
  • Investor sentiment
  • Stock price
  • Trading volume

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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