Google trends and conditional volatility: evidence from the oil and gold markets.

Abstract

This study explores the effect of Google search activity on the conditional volatility of the crude oil and gold price returns as a direct measure of investor sentiment. Two alternative approaches are adopted: a Google index and common factors, generated from a list of search queries. Within an EGARCH framework the empirical results support that there is evidence of asymmetry and persistence in the volatility and, in a certain degree, overlapped by our information demand variables.