Article

Predictability analysis of the Pound's Brexit exchange rates based on Google Trends data

Details

Citation

Mavragani A, Gkillas K & Tsagarakis KP (2020) Predictability analysis of the Pound's Brexit exchange rates based on Google Trends data. Journal of Big Data, 7 (1), Art. No.: 79. https://doi.org/10.1186/s40537-020-00337-2

Abstract
During the last decade, the use of online search traffic data is becoming popular in examining, analyzing, and predicting human behavior, with Google Trends being a popular tool in monitoring and analyzing the users' online search patterns in several research areas, like health, medicine, politics, economics, and finance. Towards the direction of exploring the Sterling Pound’s predictability, we employ Google Trends data from the last 5 years (March 1st, 2015 to February 29th, 2020) and perform predictability analysis on the Pound’s exchange rates to Euro and Dollar. The period selected includes the 2016 UK referendum as well as the actual Brexit day (January 31st, 2020), with the analysis aiming at analyzing the Pound’s relationships with Google query data on Pound-related keywords and topics. A quantile dependence method is employed, i.e., cross-quantilograms, to test for directional predictability from Google Trends data to the Pound’s exchange rates for lags from zero to 30 (in weeks). The results indicate that statistically significant quantile dependencies exist between Google query data and the Pound’s exchange rates, which point to the direction of one of the main implications in this field, that is to examine whether the movements in one economic variable can cause reactions in other economic variables.

Keywords
Big data; Dollar; Euro; Exchange rates; Google Trends; Internet behavior; Pound sterling; Predictability analysis

Journal
Journal of Big Data: Volume 7, Issue 1

StatusPublished
Publication date31/12/2020
Publication date online18/09/2020
Date accepted by journal30/07/2020
URLhttp://hdl.handle.net/1893/31733
PublisherSpringer Science and Business Media LLC
eISSN2196-1115