Big Data Investments: Effects of Internet Search Queries on German Stocks

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Chapter 1.7, Data Scope of Analysis:
The data scope of this study extends over the German Stock Index DAX® (Deutscher Aktien IndeX), MDAX® (Mid-Cap-DAX) and SDAX® (Small-Cap-DAX). The three parts are the German prime standard market indices for large, medium and small sized exchange listed companies. The blue chip index DAX covers 80% of Germany's free float market and consist of the 30 largest companies in terms of market capitalization and exchange turnover. MDAX and SDAX both have 50 titles and follow directly DAX constituents. The full prime standard would be completed by adding TECDAX® to the sample. The TECDAX consists of the 30 largest technology shares. The composition of all indices is constantly review and rebalanced on a quarterly basis, except for new listings, deletions or mergers, which are taken into account immediately (Deutsche Börse 2013, p. 19). The TECDAX was initially not included into the sample for two reasons. First, in order keep the sample size manageable and secondly with respect to the online business model of some companies (e.g. Xing or Freenet) the correlations of search queries and the success of the companies were assumed to be high ex ante. So for a generalization of theory the hypothesis should work for standard companies too.
1.7.1, Timeframe:
The overall timeframe of nine years and four month from 10 January 2004 to 4 May 2013 refers to the first publicly available observation downloadable from Google and the time of this study. All regressions are based on this time frame. It is to say, that two major macroeconomic crisis fall into this period. The global financial crisis of 2008/09 and the European sovereign debt crisis that has been going on since 2010. Both crisis affected the global economy and lead to a slowdown of production. The financial crisis of 2008 is sometimes also referred to as the "Great Recession".
1.7.2, Necessary Adjustments in Sample Selection:
Over this period not all the stocks could be

Jan Becker was born in Hessen in the mid-west of Germany in 1986. After acquiring his Bachelor of Science in Economics and Business Administration from Goethe University in Frankfurt, he graduated as a Master of Science in Capital Markets from Frankfurt School of Finance & Management.
The author is a capital market professional in the field of asset management and quantitative finance. He gained relevant experience in practical tactical asset allocation at a renowned German asset management firm and thereafter on capital market derivative strategies for a consultancy firm in Frankfurt. His core area of expertise is centered on multi asset and absolute return investments. Today he is working for an international asset management company and supplying institutional clients with investment solutions.