To arrive at this sample, I've started with the stock index FTSE 100. Any search term with insufficient data has been removed. The sample stretches from 2004 to 2013.
The aim of my research is to see if any information about stock market volatility can be gleaned from Google Trends data. Therefore, the higher frequency data I can get, the better. Google Trends will only export daily data for shorter intervals. I have therefore downloaded the data one month at a time. The total number of files downloaded is 101*12*10=12120. The difference in variance can be seen in my previous post where I compare daily and weekly Google Trends data.
The data provided by Google is indexed so that the maximum is 100 and the minimum is zero. The minimum value of the majority of the search querries is also zero. The maximum on the other hand can exceed 100. That is due to the reindexing process presented in the previous post. When the data is exported, the monthly time series are each scaled so that the maximum value for a given month is 100. In order to not distort the data, each month is rescaled based on the values in the weekly time series. This process is ilustrated in the previous post.
| Stock | Obs. | Nas | Min. | 1st Qu. | Median | Mean | 3rd Qu. | Max. | Sd |
| aberdeen asset management | 1681 | 1972 | 0 | 29.0 | 34.0 | 34.1 | 40.0 | 268.8 | 14.7 |
| admiral group | 1198 | 2455 | 0 | 32.0 | 36.0 | 39.1 | 45.0 | 86.0 | 13.2 |
| aggreko | 2226 | 1427 | 0 | 38.0 | 44.2 | 46.2 | 53.0 | 174.1 | 17.5 |
| anglo american | 3533 | 120 | 0 | 46.0 | 57.0 | 66.9 | 85.2 | 255.4 | 31.2 |
| antofagasta | 3619 | 34 | 0 | 41.2 | 54.0 | 54.9 | 66.5 | 217.7 | 19.9 |
| arm holdings | 1190 | 2463 | 0 | 13.0 | 18.0 | 22.2 | 32.0 | 156.4 | 15.3 |
| associated british foods | 417 | 3236 | 9 | 14.0 | 15.0 | 14.7 | 15.0 | 24.0 | 1.9 |
| astrazeneca | 3557 | 96 | 0 | 40.0 | 54.5 | 58.6 | 72.1 | 333.3 | 26.3 |
| aviva | 3613 | 40 | 0 | 38.0 | 61.4 | 65.7 | 88.4 | 164.1 | 32.5 |
| bae systems | 3521 | 132 | 0 | 53.0 | 69.0 | 77.0 | 94.3 | 311.8 | 36.2 |
| barclays | 3644 | 9 | 0 | 65.1 | 78.8 | 77.0 | 90.2 | 202.6 | 19.9 |
| barratt developments | 298 | 3355 | 13 | 14.0 | 21.0 | 21.1 | 26.0 | 37.0 | 6.0 |
| bg group | 2505 | 1148 | 0 | 38.0 | 46.0 | 51.6 | 61.0 | 213.3 | 24.0 |
| bhp billiton | 3382 | 271 | 0 | 42.0 | 55.0 | 62.4 | 77.6 | 380.6 | 31.8 |
| bp | 3644 | 9 | 7.04 | 17.0 | 20.7 | 21.9 | 23.4 | 138.5 | 10.6 |
| british american tobacco | 3380 | 273 | 0 | 41.0 | 52.0 | 54.0 | 65.0 | 206.2 | 19.8 |
| bt group | 2428 | 1225 | 0 | 34.0 | 43.5 | 43.5 | 53.0 | 159.0 | 15.1 |
| bunzl | 2688 | 965 | 0 | 47.7 | 57.0 | 59.3 | 67.0 | 204.2 | 21.3 |
| capita | 3643 | 10 | 0 | 69.0 | 88.3 | 90.7 | 106.9 | 236.8 | 28.9 |
| carnival | 3644 | 9 | 8.609 | 25.2 | 28.3 | 29.8 | 32.5 | 117.1 | 8.0 |
| centrica | 3492 | 161 | 0 | 33.2 | 43.0 | 48.0 | 57.4 | 213.1 | 22.6 |
| coca-cola | 3643 | 10 | 0 | 26.0 | 42.7 | 50.0 | 67.0 | 192.5 | 29.1 |
| compass group | 3490 | 163 | 0 | 52.0 | 65.0 | 76.4 | 95.6 | 247.8 | 35.4 |
| crh | 3083 | 570 | 0 | 48.0 | 63.0 | 69.5 | 85.9 | 344.3 | 31.3 |
| diageo | 3527 | 126 | 0 | 50.0 | 68.8 | 73.9 | 91.8 | 241.2 | 31.7 |
| easyjet | 3644 | 9 | 0 | 67.0 | 76.5 | 76.8 | 85.6 | 335.0 | 17.3 |
| experian | 3643 | 10 | 0 | 74.0 | 101.7 | 100.5 | 120.0 | 329.2 | 32.7 |
| fresnillo | 2363 | 1290 | 0 | 28.0 | 39.0 | 42.0 | 52.1 | 250.0 | 21.9 |
| ftse 100 | 3453 | 200 | 0 | 18.0 | 27.0 | 43.6 | 59.2 | 866.7 | 45.9 |
| g4s | 2746 | 907 | 0 | 16.4 | 27.0 | 28.8 | 38.8 | 246.8 | 17.9 |
| gkn | 3451 | 202 | 0 | 33.0 | 45.1 | 46.7 | 58.0 | 157.9 | 19.2 |
| glaxosmithkline | 3535 | 118 | 0 | 45.0 | 59.3 | 62.5 | 74.9 | 336.8 | 26.8 |
| hammerson | 2181 | 1472 | 7 | 17.0 | 22.0 | 25.3 | 31.0 | 83.0 | 11.5 |
| hargreaves lansdown | 2838 | 815 | 0 | 20.1 | 32.1 | 40.3 | 55.7 | 307.2 | 27.2 |
| hsbc holdings | 1908 | 1745 | 12 | 27.0 | 37.0 | 33.7 | 39.0 | 81.0 | 10.5 |
| imi | 3626 | 27 | 0 | 77.0 | 88.0 | 90.0 | 99.2 | 318.2 | 22.7 |
| intercontinental hotels group | 2087 | 1566 | 0 | 19.0 | 24.0 | 27.7 | 35.0 | 97.0 | 13.0 |
| johnson matthey | 2619 | 1034 | 0 | 30.4 | 37.0 | 37.9 | 46.0 | 126.0 | 13.4 |
| kingfisher | 3618 | 35 | 0 | 35.8 | 58.6 | 55.2 | 68.6 | 169.3 | 22.7 |
| lloyds banking group | 1783 | 1870 | 0 | 23.0 | 33.5 | 41.0 | 49.6 | 258.3 | 28.3 |
| meggitt | 2265 | 1388 | 0 | 22.0 | 26.0 | 26.6 | 31.0 | 100.4 | 9.1 |
| mondi | 3442 | 211 | 0 | 18.0 | 21.2 | 22.5 | 25.7 | 110.5 | 9.2 |
| pearson | 3644 | 9 | 17.18 | 54.0 | 63.5 | 66.2 | 74.5 | 249.3 | 17.8 |
| persimmon | 3565 | 88 | 0 | 17.6 | 22.7 | 25.5 | 30.0 | 266.7 | 13.1 |
| prudential | 3644 | 9 | 17.41 | 46.8 | 61.2 | 62.7 | 75.0 | 151.9 | 20.1 |
| reed elsevier | 2281 | 1372 | 0 | 14.2 | 18.6 | 20.2 | 26.0 | 108.3 | 10.7 |
| resolution limited | 417 | 3236 | 25 | 33.0 | 34.0 | 38.9 | 46.0 | 55.0 | 8.9 |
| rexam | 3136 | 517 | 0 | 30.9 | 41.3 | 40.9 | 50.0 | 115.5 | 15.5 |
| rio tinto | 3563 | 90 | 0 | 29.3 | 48.6 | 55.0 | 71.4 | 575.0 | 36.2 |
| royal dutch shell | 2908 | 745 | 0 | 20.0 | 26.0 | 28.0 | 33.0 | 111.1 | 12.0 |
| royal mail | 3644 | 9 | 0 | 45.7 | 61.4 | 64.6 | 80.9 | 273.3 | 26.1 |
| sabmiller | 2938 | 715 | 0 | 22.0 | 27.0 | 33.3 | 45.3 | 169.2 | 17.1 |
| sage group | 1926 | 1727 | 0 | 30.0 | 34.0 | 35.5 | 43.0 | 70.7 | 11.1 |
| schroders | 3427 | 226 | 0 | 19.0 | 25.4 | 27.3 | 35.0 | 113.3 | 11.4 |
| severn trent | 3499 | 154 | 0 | 11.0 | 14.5 | 15.8 | 18.3 | 341.2 | 11.9 |
| shire | 3644 | 9 | 0 | 42.2 | 51.1 | 55.2 | 63.8 | 272.2 | 21.2 |
| smith & nephew | 2640 | 1013 | 0 | 20.6 | 28.0 | 28.3 | 35.0 | 68.2 | 11.0 |
| smiths group | 2545 | 1108 | 4 | 8.0 | 10.0 | 11.6 | 15.0 | 100.0 | 5.9 |
| sse | 3567 | 86 | 0 | 53.0 | 62.7 | 65.7 | 76.9 | 322.7 | 20.7 |
| standard chartered | 3631 | 22 | 0 | 29.0 | 43.6 | 49.5 | 68.8 | 225.0 | 24.0 |
| standard life | 3614 | 39 | 0 | 12.7 | 16.6 | 20.3 | 23.4 | 320.0 | 16.7 |
| tesco | 3644 | 9 | 0 | 42.7 | 55.6 | 54.4 | 64.0 | 144.8 | 17.4 |
| travis perkins | 3534 | 119 | 0 | 55.0 | 71.2 | 74.6 | 90.0 | 231.2 | 28.9 |
| tui travel | 3200 | 453 | 0 | 30.3 | 40.0 | 41.2 | 50.0 | 116.0 | 15.3 |
| tullow oil | 2109 | 1544 | 0 | 22.2 | 28.0 | 30.1 | 35.0 | 205.3 | 15.0 |
| unilever | 3643 | 10 | 0 | 25.5 | 33.3 | 35.5 | 41.2 | 171.7 | 14.7 |
| whitbread | 3442 | 211 | 0 | 2.0 | 3.0 | 3.9 | 4.0 | 300.0 | 9.7 |
| william hill | 3644 | 9 | 0 | 14.0 | 19.4 | 22.2 | 26.4 | 212.5 | 13.9 |
| vodafone group | 1773 | 1880 | 0 | 38.0 | 43.4 | 42.6 | 49.6 | 114.9 | 13.1 |
| wolseley | 3494 | 159 | 0 | 58.1 | 73.6 | 81.9 | 97.4 | 380.0 | 36.2 |
| wpp | 3497 | 156 | 0 | 29.0 | 37.9 | 39.5 | 47.9 | 184.6 | 16.6 |
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