Relationship Between Google Trends Data and Index Returns

This paper aims to test the presence or absence of relationship between Google trends data for the words `bull market' and `bear market' and the returns of NIFTY. We use Granger causality test to find the relationship between the Google trends data and the index returns. For this study, the adjusted closing prices of Nifty 50 data for period of one year from December 2016 to December 2017 is used to calculate the weekly index return and the Google trend data for India for the keywords `bull market' and `bear market' is taken. It was observed that the Google search data for the `Bull market' is affecting the Nifty 50 returns.