Google 是否能預測台灣股票報酬率？

Abstract

Google於2006年5月推出Google Trends的服務，允許用戶查詢任意關鍵字於Google搜尋引擎中的搜尋指數。該服務推出後，越來越多領域使用該資料庫做為學術研究的用途，包括醫學、經濟、財務等，多數研究都將搜尋指數做為注意力代理變數，探討搜尋行為是否具有預測社會現象的能力。

本文使用Fama-Macbeth 兩階段迴歸探討Google搜尋指數做為注意力的代理變數，能否對於台灣的股價報酬具有解釋能力。研究結果顯示，Google搜尋指數對於下一週的股價報酬具有顯著的解釋能力，平均而言，搜尋指數的異常變動量每上升1個標準差，下一週股價的異常報酬率會上升7.11 basis points。

Google released the Google Trends services in May 2006 and it enable user to see the search volume index for any given term. Since the service was released, it has gradually been incorporated into academic research from various fields such as Medication, Economic and Finance. Most of the study regards search volume index as a proxy of attention and use it to see if the proxy have predictive power or not. The purpose of this study is to analyze how search volume index affect stock price in Taiwan. The results indicate that the search volume index does have predictive power over the next week stock price. On average, 1 standard deviation increased in abnormal search volume index will raises abnormal return next week by 7.11 basis points.