Fractional differencing in stock market price and online presence of global tourist corporations
Keywords:
ARFIMA, Global corporations, Online search trends, Stock market behaviourAbstract
Purpose. This work aims to explore the behavior of stock market prices according to the autoregressive fractional differencing integrated moving average model. This behavior will be compared with a measure of online presence, search engine results as measured by Google Trends.
Design/methodology/approach. The study sample is comprised by the companies listed at the STOXX® Global 3000 Travel and Leisure. Google Finance and Yahoo Finance, along with Google Trends, were used, respectively, to obtain the data of stock prices and search results, for a period of five years (October 2012 to October 2017). To guarantee certain comparability between the two data sets, weekly observations were collected, with a total figure of 118 firms, two time series each (price and search results), around 61,000 observations.
Findings. Relationships between the two data sets are explored, with theoretical implications for the fields of economics, finance and management. Tourist corporations were analyzed owing to their growing economic impact. The estimations are initially consistent with long memory; so, they suggest that both stock market prices and online search trends deserve further exploration for modeling and forecasting. Significant differences owing to country and sector effects are also shown.
Originality/value. This research contributes in two different ways: it demonstrate the potential of a new tool for the analysis of relevant time series to monitor the behavior of firms and markets, and it suggests several theoretical pathways for further research in the specific topics of asymmetry of information and corporate transparency, proposing pertinent bridges between the two fields.
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