What investors are searching for: Google search volume and its impact on returns and trading activity in Nordic stock markets

Abstract: Google search volume has recently emerged as a novel measure of investor attention to reexamine the relationship between investor recognition and asset prices. By employing naive search queries of company names, this study investigates the effect of variations in Google search volume on stock returns and trading activity in Nordic stock markets. The results indicate that an increase in a stock's local or global search volume is associated with a rise in contemporaneous trading activity, as measured by share volume, dollar volume, and the turnover rate. This effect is particularly strong among the smaller and more illiquid stocks in the sample. This finding further suggests that Google search volume can indeed capture different levels of individual investors' attention. Contrarily, this study does not find significant evidence that Google search volume can predict abnormal returns in Nordic stock markets.