The Relationship Between Google Search Volume Index And Stock Returns: Evidence In Vietnam

Abstract

This paper explores the relationship between Google Search Volume Index (GSVI) and stock returns in an emerging market context. It analyzes data from the 100 largest Vietnamese companies listed between 2021 and 2023, alongside GSVI data from Google Trends. Using regression with fixed effects, the study examines GSVI's ability to explain current returns and predict future returns at both market-wide and industry-specific levels. The findings reveal a positive correlation between Google searches and both contemporaneous and future stock returns at the market level. Additionally, the correlation between Google searches and returns varies across different industries. By focusing on an emerging market, this research extends the insights of previous studies, which have predominantly centered on larger markets.