Abstract
We present empirical evidence that collective investor behavior can be inferred from large-scale Wikipedia search data for individual-level stocks. Drawing upon Shannon transfer entropy, a model-free measure that considers any kind of statistical dependence between two time series, we quantify the statistical information flow between daily company-specific Wikipedia searches and stock returns for a sample of 447 stocks from 2008 to 2017. The resulting stock-wise measures on information transmission are then used as a signal within a hypothetical trading strategy. The results evidence the predictive power of Wikipedia searches and are in line with the previously documented notion of buying pressure revealed by online investor attention and the trading patterns of retail investors.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
