Description
In this project, the applicant will study how Google internet searches relate to movements in financial markets. Since comovement can be different at various time scales (from short-term to long-term comovement), he will also use a novel approach (wavelets) which is particularly suitable for this task. The applicant will cooperate with Milan Bašta of the University of Economics, Prague. Dr. Bašta is an expert in the wavelet methodology. The skills of the applicant and Milan Basta are complementary and both will therefore benefit from the cooperation. Peter Molnar is a successful researcher with many publications, but his work is mostly applied. Work of Milan Basta is more methodological, with focus on wavelet methodology. The results of this project will be relevant better understanding of financial markets and therefore indirectly for most people. In addition, understanding of this topic will contribute to the stability of the economy and therefore will provide insights policy makers.
Summary of project results
In this project I studied how Google internet searches relate to movements in financial markets. During this time, Beneficiary managed to finish one paper (Google searches and stock returns), which is now published in a scientific journal. Beneficiary also worked on two other papers (Google searches and foreign market volatility; Google searches and stock performance after earnings announcements), which are currently working papers, but will be submitted to journals soon. The results are relevant for better understanding of financial markets and therefore for society in general.
Summary of bilateral results
Increased skills/competences of staff