Google search intensity and its relationship with returns and trading volume of Japanese stocks

• We examine the relationship between search intensity and stock-trading behavior.
• Our sample consists of 189 Japanese stocks searched between 2008 and 2011.
• We find that correlations with search intensity are positive for trading volume.
• However, correlations with search intensity are weakly positive for stock returns.

This study examines the relationship between online search intensity and stock-trading behavior in the Japanese market. The search intensity is measured by the search volume of company names on Google. Our sample consists of 189 Japanese stocks searched between 2008 and 2011. We find correlations with search intensity that are strongly positive for trading volume and weakly positive for stock returns. Our results are consistent with the notion that the increase in search activity is associated with increases in trading activity, but the probability that this increase in trading raises stock prices is not high.