Header

UZH-Logo

Maintenance Infos

Measuring economic uncertainty and its impact on the stock market


Dzielinski, Michal (2012). Measuring economic uncertainty and its impact on the stock market. Finance Research Letters, 9(3):167-175.

Abstract

This paper proposes a novel measure of economic uncertainty based on the frequency of internet searches. The theoretical motivation is offered by findings in economic psychology that agents respond to increased uncertainty by intensifying their information search. The main advantages of using internet searches are broad reach, timeliness and the fact that they reflect actions, rather than words, which however are not directly related to the stock market. The search-based uncertainty measure compares well against a peer group of alternative indicators and is shown to have a significant relationship with aggregate stock returns and volatility.

Abstract

This paper proposes a novel measure of economic uncertainty based on the frequency of internet searches. The theoretical motivation is offered by findings in economic psychology that agents respond to increased uncertainty by intensifying their information search. The main advantages of using internet searches are broad reach, timeliness and the fact that they reflect actions, rather than words, which however are not directly related to the stock market. The search-based uncertainty measure compares well against a peer group of alternative indicators and is shown to have a significant relationship with aggregate stock returns and volatility.

Statistics

Citations

Dimensions.ai Metrics
23 citations in Web of Science®
33 citations in Scopus®
102 citations in Microsoft Academic
Google Scholar™

Altmetrics

Downloads

948 downloads since deposited on 16 Jan 2012
277 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:2012
Deposited On:16 Jan 2012 14:18
Last Modified:21 Sep 2018 07:02
Publisher:Elsevier
ISSN:1544-6131
OA Status:Green
Publisher DOI:https://doi.org/10.1016/j.frl.2011.10.003
Other Identification Number:merlin-id:4533

Download

Download PDF  'Measuring economic uncertainty and its impact on the stock market'.
Preview
Content: Accepted Version
Filetype: PDF
Size: 234kB
Filetype: Other (Coversheet Pages conversion from application/pdf to application/pdf)