We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should have a...

This study examines the ability of online ticker searches to serve as a valid proxy for investor sentiment and forecast stock returns and trading volumes in the Indian financial market. In contrast to the common findings, we observe that ticker search volumes do not exhibit any predictive value...