Using Google Trends and Baidu Index to analyze the impacts of disaster events on company stock prices

doi:10.1108/IMDS-03-2019-0190

CSpace

	Using Google Trends and Baidu Index to analyze the impacts of disaster events on company stock prices
	Liu, Ying 1,2; Peng, Geng 1; Hu, Lanyi 3; Dong, Jichang 1; Zhang, Qingqing 1
	2020-02-03
发表期刊	INDUSTRIAL MANAGEMENT & DATA SYSTEMS
ISSN	0263-5577
卷号	120 期号:2 页码:350-365
摘要	Purpose With the ascendance of information technology, particularly through the internet, external information sources and their impacts can be readily transferred to influence the performance of financial markets within a short period of time. The purpose of this paper is to investigate how incidents affect stock prices and volatility using vector error correction and autoregressive-generalized auto regressive conditional Heteroskedasticity models, respectively. Design/methodology/approach To characterize the investors' responses to incidents, the authors introduce indices derived using search volumes from Google Trends and the Baidu Index. Findings The empirical results indicate that an outbreak of disasters can increase volatility temporarily, and exert significant negative effects on stock prices in a relatively long time. In addition, indices derived from different search engines show differentiation, with the Google Trends search index mainly representing international investors and appearing more significant and persistent. Originality/value This study contributes to the existing literature by incorporating open-source data to analyze how catastrophic events affect financial markets and effect persistence.
关键词	Stock market AR-GARCH Crash incidents Search volume index
DOI	10.1108/IMDS-03-2019-0190
收录类别	SCI
语种	英语
WOS研究方向	Computer Science ; Engineering
WOS类目	Computer Science, Interdisciplinary Applications ; Engineering, Industrial
WOS记录号	WOS:000508488400008
出版者	EMERALD GROUP PUBLISHING LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/50574
专题	中国科学院数学与系统科学研究院
通讯作者	Dong, Jichang
作者单位	1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China 2.Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing, Peoples R China 3.Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Liu, Ying,Peng, Geng,Hu, Lanyi,et al. Using Google Trends and Baidu Index to analyze the impacts of disaster events on company stock prices[J]. INDUSTRIAL MANAGEMENT & DATA SYSTEMS,2020,120(2):350-365.
APA	Liu, Ying,Peng, Geng,Hu, Lanyi,Dong, Jichang,&Zhang, Qingqing.(2020).Using Google Trends and Baidu Index to analyze the impacts of disaster events on company stock prices.INDUSTRIAL MANAGEMENT & DATA SYSTEMS,120(2),350-365.
MLA	Liu, Ying,et al."Using Google Trends and Baidu Index to analyze the impacts of disaster events on company stock prices".INDUSTRIAL MANAGEMENT & DATA SYSTEMS 120.2(2020):350-365.