The relationship between Google trend search volume index and BIST-30 stock returns

Google, which is part of the Alphabet company, offers many services to its users, such as making general searches on different topics with the Google search engine, getting information about finance with Google finance, and following academic studies with Google Scholar. This shows that Google is a company that specializes in classifying search data. Alphabet company, with its Google Trends service, has been sharing the query volume of Google search terms and the changes in these volumes over time with users since 2004. This study, it is aimed to examine the relationship between Google Trends searches, where the number of Google searches representing investor interest, and the changes in the prices of BIST 30 companies. In other words, it will be tried to determine whether there is a bi-directional effect between Google search volumes and stock return. The stock return data of the companies were obtained from the Investing website, and the Google Trends data were obtained from the Google Trends website. The dataset consists of monthly data between 2016 and 2021. The relationship between the stock returns and the number of Google Trends searches was examined with the Panel VAR methodology. The cross-section dependency test was examined with the Pesaran CD Test, and when it was concluded that there was a cross-sectional dependence, the CIPS Unit Root test was performed. To decide which causality test will be applied, the homogeneity test was performed and it was concluded that the variables were homogeneous. As a result of the causality analysis, it was concluded that there is a bi-directional relationship between the Google Trends search volume index and stock returns.