Weekend effects on stock searching: Evidence from Baidu index in China

Based on the previous findings of the relationship between search volume and stock price, we doubt about the default assumption that the searches done on weekdays and those on weekends have equal effects on stock price. We propose a novel measure of search quality using the proportion of the searches done on weekdays in a week. Based on daily search volume data from Baidu Index, we try to explore the search weekend effects and its impact on stock price. In a sample of CSI 300 stocks in China from 2010 to 2012, we find searches done on weekends are more influential, higher portion of searches on weekdays in a week results in negative price pressure in the following two weeks.