Information demand and stock market ...
Document type :
Article dans une revue scientifique
Title :
Information demand and stock market liquidity: International evidence
Author(s) :
Aouadi, Amal [Auteur]
Recherche Interdisciplinaire en Management et Économie Lab - ULR 7396 [RIME-Lab]
Arouri, Mohamed [Auteur]
Groupe de Recherche en Management - EA 4711 [GRM]
Roubaud, David [Auteur]
Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School
Montpellier Research in Management [MRM]
Recherche Interdisciplinaire en Management et Économie Lab - ULR 7396 [RIME-Lab]
Arouri, Mohamed [Auteur]
Groupe de Recherche en Management - EA 4711 [GRM]
Roubaud, David [Auteur]
Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School
Montpellier Research in Management [MRM]
Journal title :
Economic Modelling
Pages :
194-202
Publisher :
Elsevier
Publication date :
2018-04
ISSN :
0264-9993
English keyword(s) :
Information demand
Abnormal Google search volume
Financial markets
Stock market liquidity
Abnormal Google search volume
Financial markets
Stock market liquidity
HAL domain(s) :
Sciences de l'Homme et Société
Sciences de l'Homme et Société/Gestion et management
Sciences de l'Homme et Société/Gestion et management
English abstract : [en]
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, ...
Show more >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.Show less >
Show more >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.Show less >
Language :
Anglais
Peer reviewed article :
Oui
Audience :
Internationale
Popular science :
Non
Source :