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The influence of Google search index on stock markets: an analysis of causality in-mean and variance

Mariano Gonzalez Sanchez (Department of Business and Accounting, UNED, Madrid, Spain)

Review of Behavioral Finance

ISSN: 1940-5979

Article publication date: 13 May 2020

Issue publication date: 27 April 2021




This empirical work studies the influence of investors’ Internet searches on financial markets.


In this study, an asset pricing model with six factors is used, and autoregression, heteroscedasticity and moving average are taken into account to extract the independent shocks of each variable. Subsequently, a causality in-mean and in-variance analysis is performed to test the influence of Google searches on financial market variables, specifically, to test whether there is an influence on the idiosyncratic returns of financial assets.


Unlike most of the literature, the results show that Google searches on the name of listed companies have little influence on the trend and volatility of asset returns. On the contrary, these searches are shown to have a significant influence on trading volumes in the following week.

Practical implications

When analyzing specific effects, such as the influence of Internet searches, on financial markets, it is necessary that the model must include financial properties (asset valuation models) and statistical characteristics (stylized facts); otherwise, the empirical results could be inconsistent, since, among other issues, statistical findings may not be robust given autocorrelation and heteroscedasticity, and if an asset valuation model is not considered, the specific effect analyzed could simply be an indirect effect of a risk factor excluded from the model.


The empirical evidence shows that individual investors using Google have a significant influence on volume only so that institutional investors using other sources of information drive market prices. This means that potential investors should only be interested in the Internet searches index if their interest is focused on trading volume



This work has been supported by the Spanish Ministry of Economics and Competitiveness under grant MINECO/FEDER ECO2015-65826-P.


Gonzalez Sanchez, M. (2021), "The influence of Google search index on stock markets: an analysis of causality in-mean and variance", Review of Behavioral Finance, Vol. 13 No. 2, pp. 202-226.



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