Table 8. Average cross-correlation functions between search-engine volumes and signed price returns for the clean NASDAQ-100 stocks (query: Ticker, ).
Volume | Price returns | Avg correlation |
searches | P + | 0.2650 |
searches | P − | −0.2360 |
searches | P A | 0.2728 |
users | P + | 0.2722 |
users | P − | −0.1975 |
users | P A | 0.2446 |