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

Yuta Adachi; Motoki Masuda; Fumiko Takeda

doi:10.1016/j.pacfin.2017.09.009

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 journal › Article › peer-review

31 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 language	English
Pages (from-to)	243-257
Number of pages	15
Journal	Pacific Basin Finance Journal
Volume	46
DOIs	https://doi.org/10.1016/j.pacfin.2017.09.009
Publication status	Published - 2017 Dec
Externally published	Yes

Keywords

Attention
Behavioral finance
Investor sentiment
Stock price
Trading volume

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.pacfin.2017.09.009

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title = "Google search intensity and its relationship to the returns and liquidity of Japanese startup stocks",

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.",

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N2 - 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.

AB - 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.

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KW - Behavioral finance

KW - Investor sentiment

KW - Stock price

KW - Trading volume

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

Abstract

Keywords

ASJC Scopus subject areas

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