FTSE implied volatility compared to daily Google Searches

One of the findings that Vlastakis and Marekllos (2011) is that the implied volatility of S&P 500 as measured my the VIX index moves closely with what they call "market related information demand", i.e. the number of searches for "S&P 500" per week as measured by Google Trends. Figure one is taken from their research.

Since I'm doing research on FTSE 100, I thought it would be interesting to see if there is a similar relationship there. The graphs below presents my data for two time periods. Especially the second chart seem to indicate a strong relationship between the two.

 

The coefficient for the search volume is 0.18 (15.06) in the above regression.

In the longer time period, the coefficient drops to 0.08 (15.89) but remains significant on a 0.1% level. The R-squared drops more, from 30.15% in the shorter time period to 18.29% above.

The search data has been manipulated in a number of ways before it is used here.

1. Daily data is collected in 90-day intervals and merged based on the weekly time series that is available for the entire period. In this way, the granularity of daily data is combined with the comparability across time periods provided by the weekly data.
2. The linear trend is extracted from the search data.
3. A day-of-the-week trend is also extracted from the data.

The impact on the data of this treatment can be seen here.