- مبلغ: ۸۶,۰۰۰ تومان
- مبلغ: ۹۱,۰۰۰ تومان
The aim of this paper is to investigate whether information demand is a significant determinant of stock liquidity. For a large sample of 209 firms from 7 countries over the 2004–2014 period, we show that information demand, as proxied by daily search volume in Google, is positively associated with stock market liquidity. Most importantly, this relationship is found to be shaped by the firm's overall visibility and information asymmetry levels. We test the robustness of our results by employing different estimation methods and alternative proxies. Thus, it may be that investors and managers who are concerned with stock liquidity should consider investor information demand in addition to specific investment fundamentals.
In this study, we observe a large period of daily data which range from January 2004 to August 2014 and relate to 209 firms from 7 countries (United Kingdom, United States, China, Netherlands, Ireland, United Arab Emirates and Germany). Confirming the earlier results on the usefulness of Google search data for explaining several economic outcomes, we provide new international evidence that daily GSV of the stock ticker (Drake et al., 2012) is a significant determinant of stock market liquidity.
The main contributions of this paper are ii) to document the positive effect of daily information demand, as proxied by GSV on stock liquidity, and ii) to offer evidence that the firm's overall visibility with investors and information asymmetry have important consequences for this relationship. In a way, this paper both extends and links the existing empirical findings in the prior literature (Drake et al., 2012, 2015; Grullon et al., 2004; Peng and Xiong, 2006). Furthermore, in a broad setting, most previous studies focus only on the relationship between information demand and stock volatility and returns in the US stock market in a low frequency period; we hereby investigate the impact of daily investor information demand on stock liquidity in an international setting. We also add to existing literature by proposing some mechanisms that may shape the relation between information demand and stock liquidity. Overall, we suggest that information demand variables contribute to better understanding the liquidity variations in financial markets.
One may conclude that liquidity cannot be solely explained by known factors such as risk, firm size and trading costs, but we substantiate the importance of including online search behavior in explaining important financial outcomes. According to the assumption that what people are searching for leaves a track regarding “what we collectively think”, the usefulness of the information retrieval from digital platforms will undoubtedly increase. As we move with giant strides into the digital age, more research in this area is highly warranted.