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Vlastakis, Nikolaos 
ORCID: https://orcid.org/0000-0001-6411-7708 and Markellos, Raphael
(2012)
Information demand and stock market volatility.
Journal of Banking and Finance, 36 (6).
pp. 1808-1821.
ISSN 0378-4266
Abstract
We study information demand and supply at the firm and market level using data for 30 of the largest stocks traded on NYSE and NASDAQ. Demand is approximated in a novel manner from weekly internet search volume time series drawn from the recently released Google Trends database. Our paper makes contributions in four main directions. First, although information demand and supply tend to be positively correlated, their dynamic interactions do not allow conclusive inferences about the information discovery process. Second, demand for information at the market level is significantly positively related to historical and implied measures of volatility and to trading volume, even after controlling for market return and information supply. Third, information demand increases significantly during periods of higher returns. Fourth, analysis of the expected variance risk premium confirms for the first time empirically the hypothesis that investors demand more information as their level of risk aversion increases.
| Item Type: | Article |
|---|---|
| Faculty \ School: | Faculty of Social Sciences > Norwich Business School |
| UEA Research Groups: | Faculty of Social Sciences > Research Groups > Finance Group Faculty of Social Sciences > Research Centres > Centre for Competition Policy |
| Depositing User: | Raphael Markellos |
| Date Deposited: | 21 Feb 2012 09:36 |
| Last Modified: | 21 Apr 2023 23:36 |
| URI: | https://ueaeprints.uea.ac.uk/id/eprint/37263 |
| DOI: | 10.1016/j.jbankfin.2012.02.007 |
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