Can Google Trends search queries contribute to risk diversification?

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10173751" target="_blank" >RIV/00216208:11230/13:10173751 - isvavai.cz</a>

Alternative codes found

RIV/67985556:_____/13:00395341

Result on the web

<a href="http://dx.doi.org/10.1038/srep02713" target="_blank" >http://dx.doi.org/10.1038/srep02713</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1038/srep02713" target="_blank" >10.1038/srep02713</a>

Result language

angličtina

Original language name

Can Google Trends search queries contribute to risk diversification?

Original language description

Portfolio diversification and active risk management are essential parts of financial analysis which became even more crucial (and questioned) during and after the years of the Global Financial Crisis. We propose a novel approach to portfolio diversification using the information of searched items on Google Trends. The diversification is based on an idea that popularity of a stock measured by search queries is correlated with the stock riskiness. We penalize the popular stocks by assigning them lower portfolio weights and we bring forward the less popular, or peripheral, stocks to decrease the total riskiness of the portfolio. Our results indicate that such strategy dominates both the benchmark index and the uniformly weighted portfolio both in-sampleand out-of-sample.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2013

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Scientific Reports

ISSN

2045-2322

e-ISSN

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Volume of the periodical

3

Issue of the periodical within the volume

September

Country of publishing house

GB - UNITED KINGDOM

Number of pages

5

Pages from-to

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UT code for WoS article

000324583200003

EID of the result in the Scopus database

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