What can Google Trends tell us about the stock market?

Google Trends is an interesting data source that can be used in a number of applications. But what does our search behaviour say about reality? Here, I summarize how researchers have described Google Trends data in the past. Researchers have suggested that Google Trends data can be viewed as a description of collective behavior, aggregate demand, stock market moves, investor expectations, information demand, attention, and market sentiment.

"Internet search data may offer new possibilities to improve forecasts of collective behavior"

Quantifying the semantics of search behavior before stock market moves
Curme, Preis, Stanley & Moat (2013)
http://www.pnas.org/content/111/32/11600.abstract

"Our findings /.../ suggests that Google data is a promising source of information for nowcasting components of aggregate demand in short-run models"

Nowcasting with Google Trends in an emerging market
Carrière-Swallow & Labbé (2013)
http://onlinelibrary.wiley.com/doi/10.1002/for.1252/full

"By analyzing changes in Google query volumes for search terms related to finance, we find patterns that may be interpreted as 'early warning signs' of stock market moves."

Quantifying trading behavior in financial markets using Google Trends
Preis & Stanley (2013)
http://www.nature.com/srep/2013/130425/srep01684/full/srep01684.html?ftcamp=crm/email/2013426/nbe/AlphavilleNewYork/product

"We use a novelty Google search volume to proxy the market expectation hypothesis according to which firms with an abnormal upward change in Google searches are identified as firms with potential merger activity."

Google attention and target price run ups
Signos (2013)
http://www.sciencedirect.com/science/article/pii/S1057521912001184

"[W]e introduce a new indicator for private consumption based on search query time series provided by Google Trends."

Forecasting private consumption: survey‐based indicators vs. Google trends
Vosen & Schmidt (2011)
http://onlinelibrary.wiley.com/doi/10.1002/for.1213/full

"Demand is approximated in a novel manner from weekly internet search volume time series drawn from the recently released Google Trends database."

Information Demand and Stock Market Volatility
Vlastakis & Markellos (2011)
http://www.sciencedirect.com/science/article/pii/S0378426612000507

"We propose a new and direct measure of investor attention using search frequency in Google"

In search of attention
Da, Engelberg & Gao (2011)
http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2011.01679.x/full

"The objective of this study is to investigate factors that influence investor information demand around earnings announcements and to provide insights into how variation in information demand impacts the capital market response to earnings."

Investor information demand: Evidence from Google searches around earnings announcements
Drake, Roulstone & Thornock (2011)
http://onlinelibrary.wiley.com/doi/10.1111/j.1475-679X.2012.00443.x/full

"We use daily internet search volume from millions of households to reveal market-level sentiment."

The sum of all fears: investor sentiment and asset prices
Da, Engelberg & Gao (2010)
https://www3.nd.edu/~pgao/papers/FEARS_20131007.pdf

"How to use search engine data to forecast near-term values of economic indicators. Examples include automobile sales, unemployment claims, travel destination planning and consumer confidence."

Predicting the Present with Google Trends
Choi & Varian (2009)
http://onlinelibrary.wiley.com/doi/10.1111/j.1475-4932.2012.00809.x/full