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<p>This study examines the statistical relationship between investor attention, measured by the Google Search Volume Index (GSVI), and stock price movements in Thailand’s SET50 index. It investigates how online search volumes reflect public interest and may thus relate to stock prices across various sectors. The methodology comprised the autoregressive distributed lag (ARDL) model and Granger causality tests. The results indicate limited long-term cointegration, with significant relationships only for specific stocks. In the short run, an increased search volume negatively relates to stock prices in the financial and service sectors, but positively in the resource sector. The findings highlight the strong short-term predictive relevance of GSVI and underline the necessity for sector-specific analyses in investor decision-making and market regulation in emerging markets. This study contributes to the literature by demonstrating the practical value of GSVI as an indicator of investor sentiment, enhancing predictive models and supporting more strategic and timely market oversight.</p>

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Google Trends and stock price movements: an empirical analysis of investor attention using the ARDL approach

  • 期刊论文

  • 发表日期：

    2026年3月9日

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  • Nattapat Luenglertpatboon,
  • Chayanon Phucharoen,
  • Aziz Nanthaamornphong

摘要

This study examines the statistical relationship between investor attention, measured by the Google Search Volume Index (GSVI), and stock price movements in Thailand’s SET50 index. It investigates how online search volumes reflect public interest and may thus relate to stock prices across various sectors. The methodology comprised the autoregressive distributed lag (ARDL) model and Granger causality tests. The results indicate limited long-term cointegration, with significant relationships only for specific stocks. In the short run, an increased search volume negatively relates to stock prices in the financial and service sectors, but positively in the resource sector. The findings highlight the strong short-term predictive relevance of GSVI and underline the necessity for sector-specific analyses in investor decision-making and market regulation in emerging markets. This study contributes to the literature by demonstrating the practical value of GSVI as an indicator of investor sentiment, enhancing predictive models and supporting more strategic and timely market oversight.