Does search engine query data contribute to returns and liquidity?

  • Ridwan Nurazi University of Bengkulu
  • Berto Usman University of Bengkulu
Keywords: INTERNET, SEARCH ENGINES, returns, liquidity, investor, information,


This study attempts to identify the impact of investor’s attention which is surrogated by the search engine query data on the internet using Google on returns and liquidity. The data used in this study is extracted from Google Trend data set, and hand-collected data from the Indonesia Capital Market Directory (ICMD). By employing panel data analysis, our results show that search engine query data (information retrieval) by using the internet (Google) is clearly an important method of attenuating the level of asymmetry information between the informed and un-informed investors. Moreover, the utilization of microeconomic factors such as financial or non-financial information that can be easily obtained from the annual reports are strongly useful in helping investors preparing their portfolio of investment. Meanwhile, the macroeconomics factors such as inflation, interest rate, exchange rate, and GDP are the country-level effect which results in either positive or negative impact on returns and liquidity. By employing 83 samples and six years time period of observation, we infer that information retrieval through the search engine query data on the internet, macroeconomics factors and microeconomics factors are strongly and significantly related to returns and liquidity in the Indonesia stock exchange.

Author Biographies

Ridwan Nurazi, University of Bengkulu
Departement of Management, Faculty of Economics and Busines, University of Bengkulu
Berto Usman, University of Bengkulu
Departement of Management, Faculty of Economics and Busines, University of Bengkulu


Aerts, W., Cormier, D., & Magnan, M. (2008). Corporate environmental disclosure, financial markets and the media: An international perspective. Ecological Economics, 64

(3), 643–659.

Ashbaugh, H., Johnstone, K. M., & Warfield, T. D. (1999). Corporate reporting on the internet. Accounting Horizons, 13 (3), 241–257.

Axjonow, A., Ernstberger, J., & Pott, C. (2018). The impact of corporate social responsibility disclosure on corporate reputation: a non-professional stakeholder perspective. Journal of Business Ethics, 151 (2), 429-450.

Baltagi, B.H. (2008) Econometric Analysis of Panel Data. John Wiley & Sons Ltd., Chichester

Bank, M., Larch, M., & Peter, G. (2011). Google search volume and its influence on liquidity and returns of German stocks. Financial Markets and Portfolio Management, 25 (3), 239–264.

Beretta, S., & Bozzolan, S. (2008). Quality versus quantity: the case of forward-looking disclosure. Journal of Accounting, Auditing & Finance, 23 (3), 333–376.

Brigham, E.F., & Houston, J.F. (2007). Fundamentals of financial management (Eleventh Ed.) Thomson Higher Education. 5191 Natorp Boulevard, Mason, OH, USA

Chan, H., Faff, R., & Ramsay, A. (2005). Firm size and the information content of annual earnings announcements: Australian evidence. Journal of Business Finance and Accounting, 32 (1–2), 211–253.

Chen, S. (2011). Google search volume : influence and indication for the Dutch stock market (Bachelor Thesis). Erasmus University Rotterdam. Retrieved from

Choi, H., & Varian, H. (2012). Predicting the present with Google Trends. Economic Record, 88 (s1), 2–9.

Chordia, T., Huh, S.W., & Subrahmanyam, A. (2007). The cross-section of expected trading activity. The Review of Financial Studies, 23 (9), 709–740.

Chordia, T., Roll, R., & Subrahmanyam, A. (2001). Market liquidity and trading activity. The Journal of Finance, 56 (2), 501–530.

Copeland, T.E. (1976). A model of assset trading under the assumption of sequential information arrival. The Journal of Finance, 31 (4), 1149–1168.

Czaja, M.G., Scholz, H., & Wilkens, M. (2010). Interest rate risk rewards in stock returns of financial corporations: evidence from Germany. European Financial Management, 16 (1), 124–154.

Da, Z., Engelberg, J., & Gao, P. (2011). In Search of Attention. Journal of Finance, 66 (5), 1461–1499.

Deloitte Access Economics. (2011). The connected archipelago: The role of the Internet in Indonesia’s economic development. Sydney NSW. Retrieved from

Dergiades, T., Milas, C., & Panagiotidis, T. (2015). Tweets, Google trends, and sovereign spreads in the GIIPS. Oxford Economic Papers, 67 (2), 406–432.

Drake, M.S., Roulstone, D.T., & Thornock, J.R. (2012). Investor information demand: evidence from Google searches around earnings announcements. Journal of Accounting Research, 50 (4), 1001–1040.

Fama, E., & French, K. (1995). Size and book-to-market factors in earnings and returns. The Journal of Finance, 50 (1), 131–155.

Fogler, R., John, K., & Tipton, J. (1981). Three Factors, Interest Rate Differentials and Stock Groups. The Journal of Finance, 36 (2), 323–335.

Gujarati, D.N., & Porter, D.C. (2010). Econometria. McGraw-Hill. New-York.

Gündüz, L., & Hatemi, A. (2005). Stock price and volume relation in emerging markets. Emerging Markets Finance & Trade, 41 (1), 29–44.

Hassell, J.M., Jennings, R.H., & Lasser, D.J. (1988). Management earnings forecasts: their usefulness as a source of firm specific information to security analysts. Journal of Financial Research, 11 (4), 303–319.

Jensen, M.C., & Meckling, W.H. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics, 3 (4), 305–360.

Joseph, K., Babajide Wintoki, M., & Zhang, Z. (2011). Forecasting abnormal stock returns and trading volume using investor sentiment: evidence from online search. International Journal of Forecasting, 27 (4), 1116–1127.

Kanas, A. (2008). A multivariate regime switching approach to the relation between the stock market, the interest rate and output. International Journal of Theoretical and Applied Finance, 11 (7), 657–671.

Kinney, W.R. (2000). Information quality assurance and internal control For management decision making. Irwin/McGraw-Hill. Burr Ridge. IL

Mercer, M. (2004). How do investors assess the credibility of management disclosures? Accounting Horizons, 18 (3), 185–196.

Michelon, G., Pilonato, S., & Ricceri, F. (2015). CSR reporting practices and the quality of disclosure: An empirical analysis. Critical Perspectives on Accounting, 33, 59–78.

Nurazi, R., Kananlua, P. S., & Usman, B. (2015a). The effect of google trend as determinant of return and liquidity in Indonesia Stock Exchange. Journal Pengurusan, 45 (3), 131–142.

Nurazi, R., Santi, F., & Usman, B. (2015b). Tunnelling: evidence from Indonesia stock exchange. Asian Academy of Management Journal of Accounting and Finance, 11 (2), 127–150.

Nurazi, R., & Usman, B. (2015). Public attention and financial information as determinant of firms performance in the telecommunication sector. Jurnal Keuangan Dan Perbankan, 19 (2), 235–251.

Nurazi, R., Usman, B., & Kananlua, P. S. (2016). Does bid-ask spread react to the increase of internet search traffic. International Research Journal of Business Studies, 8 (3), 181–196.

Peavy, J.W., & Goodman, D.A. (1985). How inflation, risk and corporate profitability affect common stock returns. Financial Analysts Journal, 41(5), 59–65.

Ross, S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13 (3), 341–360.

Su, Y.C., Huang, H.C., & Lin, S.F. (2012). Dynamic relations between order imbalance, volatility and return of jump losers. Applied Economics, 44 (12), 1509–1519.

Sweeney, R., & Warga, A. (1986). The pricing of interest-rate risk: evidence from the stock market. The Journal of Finance, 42 (2), 393–410.

Takeda, F., & Wakao, T. (2014). Google search intensity and its relationship with returns and trading volume of Japanese stocks. Pacific Basin Finance Journal, 27 (1), 1–18.

Treynor, J.L. (1961). Market Value, Time, and Risk. Available at SSRN:

Turan, S.S. (2017). Internet search volume and stock return volatility: the Case of Turkish companies. Information Management and Business Review, 6 (6), 317–328.

Usman, B., & Tandelilin, E. (2014). Internet search traffic and its influence on liquidity and returns of Indonesian stocks: an empirical study. Journal of Indonesian Economy and Business, 29 (3), 203–221.

Verma, P., & Jackson, D. O. (2008). Interest rate and bank stock returns asymmetry: Evidence from U.S. banks. Journal of Economics and Finance, 32 (2), 105–118.

Verrecchia, R.E. (1990). Information quality and discretionary disclosure. Journal of Accounting and Economics, 12 (4), 365–380.

Zhang, W., Shen, D., Zhang, Y., & Xiong, X. (2013). Open source information, investor attention, and asset pricing. Economic Modelling, 33, 613–619.

Original Scientific Paper