Correlated information consumption and comovement in the stock market


Duz Tan S.

Borsa Istanbul Review, vol.22, no.4, pp.812-827, 2022 (SSCI) identifier

  • Publication Type: Article / Article
  • Volume: 22 Issue: 4
  • Publication Date: 2022
  • Doi Number: 10.1016/j.bir.2022.05.001
  • Journal Name: Borsa Istanbul Review
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, EconLit, Directory of Open Access Journals
  • Page Numbers: pp.812-827
  • Keywords: Comovement, Correlated information consumption, Google Co- Search, Investor attention, Network analysis
  • Istanbul Technical University Affiliated: Yes

Abstract

© 2022 Borsa Ä°stanbul Anonim ÅžirketiThis study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks within the resultant clusters. This comovement is linked but not entirely explained by the similarity of prominent determinants in which pairs of stocks are connected through shared mutual fund holdings, industries, and companies’ locations. This evidence suggests this comovement is in excess of what rational sources predict and the findings have important implications for portfolio optimization.