Internet Search Volumes of UK Banks During The Crisis-The Role of Banking Structure and Business Model

i An update to this article is included at the end
Global Finance Journal 45 (2020) 100472
Contents lists available at ScienceDirect
Global Finance Journal

journal homepage: www.elsevier.com/locate/gfj
Internet search volumes of UK banks during the crisis: The role of

T
banking structure and business model
Ivo J.M. Arnold
Erasmus School of Economics, Erasmus University Rotterdam, P.O. Box 1738, 3000 DR Rotterdam, the Netherlands
Nyenrode Business Universiteit, Straatweg 25, 3621 BG Breukelen, the Netherlands
A R T IC LE I N F O ABS TRA CT
JEL classifications: This paper investigates the sensitivity of Google search volumes to the global financial crisis,
G01 using a large sample of UK banks. We find that abnormal volumes of searches on bank names are
G21 a timely indicator of credit risk, as measured by credit default swap rates, and are strongly related
G28 to crisis indicators. Search volumes for retail, private, and universal banks react more strongly
than search volumes for other banks, suggesting that depositor concerns drive search volumes.
Keywords:
Search volumes for internet banks and for European banks operating in the UK through branches
Financial stability
are especially sensitive to crises.
Banking structure
Branch model
Direct banking
Google
1. Introduction
How savers feel about the soundness of their bank is of obvious interest to bank supervisors. The seminal paper by Diamond and
Dybvig (1983) shows that once depositor unease turns into a bank run, it becomes rational for all savers to withdraw their money.
Then the only option to stop the run is to shut down the bank. As bank runs are bad for confidence, bank supervisors have an interest
in preempting a bank run. This implies that supervisors value information that measures depositor anxiety before the act of with-
drawing deposits.
Google search data are increasingly being used in the literature to measure how people really feel about the world in which they
live. The use of search data has spread across disciplines, from measuring the spread of flu (Ginsberg et al., 2008) to investigating the
effect of racial animus on elections (Stephens-Davidowitz, 2014). In finance research, the use of internet data has increased markedly
in the past decade. Most studies investigate the connection between investor attention, as measured by search volumes, and market
returns, market volatility, or trading behavior. In a sample of Russell 3000 stocks, Da, Engelberg, and Gao (2011) find that search
volume is a timely indicator of investor attention. Dimpfl and Jank (2016) study the relationship between stock market volatility and
internet search queries and find that queries for the term “Dow Jones” Granger-cause market volatility. For the German stock market,
Dimpfl and Kleiman (2019) find that Google-based investor sentiment explains the return, the volatility, and the trading volume of
the DAX. Vozlyublennaia (2014) also finds that investor attention alters return predictability. For thirty of the largest stocks trading
on the NYSE and NASDAQ, Vlastakis and Markellos (2012) show that information demand, as measured by search volumes, is
significantly related to market volatility and trading volume. Chronopoulos, Papadimitriou, and Vlastakis (2018) find that the in-
clusion of search volumes in GARCH models improves volatility forecasts. In addition to search volumes, other internet-based
E-mail address: arnold@ese.eur.nl.
https://doi.org/10.1016/j.gfj.2019.05.001
Received 20 August 2018; Received in revised form 1 May 2019; Accepted 4 May 2019
Available online 11 May 2019
1044-0283/ © 2019 Elsevier Inc. All rights reserved.
I.J.M. Arnold Global Finance Journal 45 (2020) 100472
indicators have been used to predict or explain stock market movements. Bollen, Mao, and Zeng (2011) are able to improve stock
market predictions using Twitter feeds to measure the public mood. Moat et al. (2013) use Wikipedia usage to predict stock market
movements. Finally, Dergiades, Milas, and Panagiotidis (2015) examine how information contained in social media and search
volumes affects sovereign bond spreads in the euro area.
In contrast to financial markets research, the use of Google data in banking research is sparse, notwithstanding the intuitive
appeal of using search volumes to measure the anxiety of bank customers. To our knowledge, only Schaffner (2015) has published in
this area. Using search volumes between 2007 and 2012, he estimates duration models with time-varying covariates. He shows that
search volumes for U.S. bank names are significantly related to bank failures and can be used to improve predictions of the timing of
bank failure. Google search volumes start to rise up to two weeks before a bank failure, suggesting an increase in depositor attention
to the troubled bank. The present paper adds to the literature by investigating abnormal Google search volumes for UK banks in a
time window around the collapse of Lehman Brothers in 2008. We address three research questions, the first of which is closely
related to Schaffner's. The remaining two are, to the best of our knowledge, novel.
First, we examine whether search volumes add information to a market-based measure of credit risk. Schaffner looked at bank
failures; because of the limited number of bank failures in the UK market, we instead test whether surges in search activity precede
increases in banks' credit default swap (CDS) rates, a measure of credit risk. This choice warrants a different methodological ap-
proach. As bank failure is a discrete variable, Schaffner (2015) uses a piecewise-constant hazard model. Because our CDS measure is a
continuous variable, we follow Dimpfl and Jank (2016) in using Granger causality tests, and Da et al. (2011) in removing low-
frequency movements in search volumes to better capture abnormal patterns in depositor attention. This approach allows us to
examine whether search volumes for bank names are a timely indicator of bank credit risk.
Second, we investigate the influence of bank structure on the response of search volumes to general crisis indicators. In most
banking markets, foreign banks have a choice to be present as a branch or as a subsidiary. Typically, home authorities are responsible
for supervising the foreign branches of their banks, while host authorities supervise foreign subsidiaries. Fiechter et al. (2011) discuss
the trade-off between efficiency and financial stability for cross-border banking structures. Cross-border expansion through in-
tegrated branch networks is less costly than establishing legally independent subsidiaries. However, home and host authorities may
prefer the subsidiary model for financial stability reasons, as it shields the subsidiary from problems of the parent bank (or vice
versa). From the host country perspective, the subsidiary model permits regulation to protect domestic depositors. It also benefits
home countries with a limited fiscal capacity, as the potential cost of protecting foreign depositors does not weigh on the domestic
taxpayer. Fáykiss, Grosz, and Szigel (2013) conclude that the branch model reduces the power of host authorities to maintain the
stability of their banking system and protect domestic deposits. We hypothesize that, in times of crisis, this heightens anxiety among
host country depositors using foreign branches, as they face greater uncertainty regarding the quality of foreign supervision and the
ability of home authorities to protect them. We test whether this shows up in a stronger response of Google search volumes to crisis
indicators. In the UK context, an important institutional detail is that deposits at banks from outside the European Economic Area
(EEA) that operate in the UK (through either branches or subsidiaries) are protected by the Financial Services Compensation Scheme
(FSCS). Deposits at branches of EEA deposit takers are protected not by the FSCS, but by the home state deposit guarantee scheme
(FSA, 2011).
The third issue on which this paper hopes to shed some light is the stability of pure play internet banking (PPI). This is a
branchless business model for banking enabled by information and communication technology, whose strategic value derives from its
lack of physical presence (Furst, Lang, & Nolle, 2000). The absence of a branch network lowers overhead costs compared to tradi-
tional banks and enables PPI banks to offer high deposit rates and to quickly capture market share. Arnold and Ewijk (2011) discuss
the financial stability risks of this business model. Because of their easy scalability in savings markets, PPI banks have a strong
potential for aggressive growth. This raises questions regarding their financial stability. In addition, PPI banks are likely to attract
financially savvy “hit-and-run” customers (DeYoung, 2001, 2005). These clients will search the web for attractive deposit rates but
are also likely to respond quickly to any sign of trouble. When fear overtakes financial markets and depositors seek safety close to
home, a PPI bank may be more vulnerable than a traditional bank. We hypothesize that, in times of crisis, depositors with PPI banks
will experience greater anxiety than depositors of traditional banks. We again test this using Google search volumes.
We focus on the UK for a number of reasons. First, the UK hosts a large number of banks owing to its position as Europe's premier
financial center. Second, foreign banks active in the UK vary in their choice of legal model. Both the branch model and the subsidiary
model are widely represented, allowing investigation of whether their effects differ. Finally, the UK poses no language issues that
would complicate the retrieval of search volumes.
Starting from a sample of 338 banks, we are able to retrieve search volumes for a subset of 255 banks. Using these data, we test
five hypotheses related to the research questions. First, we estimate panel Granger causality tests to assess the temporal relationship
between search volumes and bank CDS rates. Given the findings in the literature on investor attention, we hypothesize that “depositor
attention,” as measured by abnormal search volumes, Granger causes CDS rates. Second, we hypothesize that a relationship exists
between search volumes for bank names and crisis indicators. In times of crisis, depositors will try to find more information on how
the crisis will affect their bank. Third, we hypothesize that this relationship is stronger for banks that attract customer deposits from
the public than for banks that focus on investment banking, investment management, trade finance, or other specialties. Fourth, we
hypothesize that search volumes for EEA banks that are not covered by the FSCS react more strongly to crisis indicators than volumes
for banks that are covered by the FSCS. Finally, for the small number of PPI banks in our sample we predict an especially strong
reaction of search volumes to the crisis.
This paper is organized as follows. The next section describes the data and the empirical approach. Next we discuss the empirical
results. We finally provide a number of conclusions.
2
2. Data and methods
2.1. Data
We start from a list of 338 banks compiled December 31, 2006, by the Financial Services Authority (FSA), the body responsible for
UK banking supervision between 2001 and 2013. This list is accessible through the UK's national archives.1 The FSA's compilation
classifies banks into four categories:
a. banks incorporated in the UK;

b. banks incorporated outside the EEA authorized to accept deposits through a branch in the UK;
c. banks incorporated in the EEA authorized to accept deposits through a branch in the UK;
d. banks incorporated in the EEA authorized to establish branches in the UK but not to accept deposits in the UK.
Banks in categories (a) and (b) are covered by the FSCS. Banks in category (c) are covered by the deposit guarantee scheme in the
home country.
For the bank names on the FSA list, we have manually executed a query on Google Trends and have retrieved weekly Google
search volumes for the period January 7, 2007, to December 27, 2009. This period includes the collapse of Lehman Brothers at the
height of the global financial crisis in September 2008. Queries are restricted to the United Kingdom and to the “finance” category.
We have dropped commonly used company suffixes such as “plc,” “ltd, “AG,” “SA,” “SpA,” and “NV,” as users are unlikely to include
these in their searches. Google Trends does not publish absolute search volumes. Instead, a Google index value is published that is
relative in two ways. First, a query share is calculated that measures the number of queries for a particular search term relative to the
total number of queries in the selected category and geographical area. Second, the query share is reported relative to the maximum
query share in the selected period, multiplied by 100. Thus a rising index value indicates a rise in popularity of the search term, even
allowing for an increase in internet use over time. The levels of the index are not comparable across banks. As we are interested in
how the index changes in response to changes in crisis indicators, this is not a problem. Finally, if the absolute number of queries falls
below an unknown threshold value, Google does not publish an index value. This implies that not all of our queries will return data.
The level of the Google search volume index at time t for bank i is denoted by SVIt,i. We follow Da et al. (2011) in defining the
abnormal value of SVIt,i, denoted by ASVIt,i, as.
ASVIi, t = log(SVIi, t )–log[Med (SVIi, t − 1,…, SVIi, t − 8 )]. (1)
Eq. (1) removes low-frequency movements from the log of SVIt,i by subtracting the log of the median value during the previous
eight weeks. This measure better captures an abnormal surge in depositor attention.
For all banks listed by the FSA, we have determined whether their business model includes attracting deposits from the public.2
“Banks attracting deposits” is a broad category, including domestic retail banks, private banks, and universal banks. The dummy
variable RPUi equals one if banks are retail banks, private banks, or universal banks and zero otherwise. The latter subcategory
includes banks that are active in investment banking, investment management, trade finance, or other specialties. In our sample,
three banks employ the PPI business model. For these banks, the dummy variable PPIi takes on the value one. Banking structure is
measured with the dummy variables EEAi and NONEEAi, which take on the value one if a bank from an EEA country (or, respectively,
a non-EEA country) operates in the UK through a branch and zero otherwise.
As a measure of the risk characteristics of individual banks (or the parent company in the case of branches and subsidiaries), we
use Thomson Reuters CDS rates. A CDS transfers the risk of default to a counterparty in exchange for a periodic fee on the notional
amount. It thus reflects market perceptions of the soundness of banks. Bank CDS rates are commonly used as a measure for bank
stability in the empirical literature (Calice, Ioannidis, & Williams, 2012; Chiaramonte & Casu, 2013; Hasan, Liu, & Zhang, 2016). CDS
rates are available from December 2007. The inclusion of individual CDS rates reduces the sample to a subset of 68 banks. We define
the variable CDSt,i as the log of the CDS rate of bank i at time t.
As crisis indicators we use two market-based indicators of financial stress and three general search volumes related to depositor
attention. A survey by Kliesen, Owyang, and Vermann (2012) concludes that financial stress indices are highly correlated, as these are
often based on similar underlying time series. We have chosen two widely used indices compiled by central banks: the St. Louis
Financial Stress Index for the US (denoted FSIt) and the ECB's Composite Index for Systemic Stress for Europe (denoted CISSt). To
eliminate low-frequency movements and focus on abnormal patterns, we subtract the median value for the previous eight weeks, as in
Eq. (1). The transformed variables are denoted AFSIt and ACISSt. As measures of the crisis mood among UK depositors, we have
extracted search volumes for the following search terms from Google Trends: “Safe,” “Savings,” “Deposits.” Weekly search volumes
have been retrieved from January 7, 2007, to December 27, 2009, with the queries being restricted to the geographical area of the UK
and to the “finance” category. The corresponding variables are denoted SAFEt, SAVINGSt, and DEPOSITSt. In order to remove low-
frequency movements, the variables have again been transformed using the procedure in Eq. (1). This yields the variables ASAFEt,
ASAVINGSt, and ADEPOSITSt to measure abnormal depositor anxiety. We use CRISISt as a general label for the five crisis indicators
1
http://webarchive.nationalarchives.gov.uk/20091002233726/http://www.fsa.gov.uk/Pages/Library/Other_publications/Banks/2006/index.
shtml.
2
Our primary source for this is https://thebanks.eu. As a secondary source we have used Bloomberg company information.
3
Table 1
List of variable definitions.
Variable Definition
Variables from Google trends

SVIi Search frequency from Google Trends on the name of bank i
ASVIi Abnormal SVIi: the log of SVIi during the week minus the log of median SVIi during the previous 8 weeks
SAFE Search frequency from Google Trends on the search term “Safe”
ASAFE Abnormal SAFE: the log of SAFE during the week minus the log of median SAFE during the previous 8 weeks
SAVINGS Search frequency from Google Trends on the search term “Savings”
ASAVINGS Abnormal SAVINGS: The log of SAVINGS during the week minus the log of median SAVINGS during the previous 8 weeks
DEPOSITS Search frequency from Google Trends on the search term “Deposits”
ADEPOSITS Abnormal DEPOSITS: The log of DEPOSITS during the week minus the log of median DEPOSITS during the previous 8 weeks
Financial market variables
CDSi The log of the credit default swap rate of bank i
FSI St. Louis Fed Financial stress index
AFSI Abnormal FSI: FSI minus the median FSI during the previous 8 weeks
CISS ECB Composite index of systemic stress
ACISS Abnormal CISS: CISS minus the median CISS during the previous 8 weeks
CRISIS General label denoting one of the following crisis indicators: ASAFE, ASAVINGS, ADEPOSITS, AFSI, ACISS.
Dummy variables for banking structure and bank type
RPUi Equals 1 if bank i is a retail, private, or universal bank accepting deposits in the UK and zero otherwise
EEAi Equals 1 if EEA bank i operates in the UK through a branch and zero otherwise
NONEEAi Equals 1 if non-EEA bank i operates in the UK through a branch and zero otherwise
PPIi Equals 1 if bank i employs the pure play internet business model.
discussed here. Table 1 provides an overview of all variables and their definitions.
2.2. Descriptive statistics
Table 2 describes the composition of our dataset. As one would expect from internet-only banks, search volumes for our three PPI
banks (category 1.1.1 in Table 2) are fully available on Google Trends. The availability of search volumes is better for banks that
attract deposits (82%, 98%, and 79% for categories 1.1.2, 1.1.3, and 1.1.4 respectively) than for banks that do not or are not allowed
to accept deposits (59% and 38% for categories 1.2 and 2 respectively). This suggests that search activity is related to whether or not
a bank is in the business of attracting deposits.
Fig. 1 plots the five crisis indicators. For the abnormal search terms ASAFEt, ASAVINGSt, and, to a lesser extent, ADEPOSITSt, the
values peak in the fall of 2008, at the height of the global financial crisis. This suggests that abnormal patterns in these Google index
values indeed reflect the general crisis mood among depositors. Fig. 1 also plots the financial stress indicators AFSIt and ACISSt. AFSIt
exhibits a strong peak in the fall of 2008; this is less pronounced for ACISSt. Fig. 2 plots ASVIi,t averaged by bank category. All graphs
show clear spikes in the fall of 2008, coinciding with the peaks in Fig. 1. For EEA banks operating in the UK through branches, the
spikes are more pronounced than for banks incorporated in the UK, as is shown by the wider scale on the vertical axis. The strongest
surge in abnormal search activity is displayed by the three PPI banks in our sample: ING Direct, Landsbanki, and Egg Bank. Fig. 2
therefore suggests that banking structure and business model affect depositor attention: bank branches under foreign depositor
protection and pure play internet banks seem especially vulnerable to increases in depositor anxiety during a crisis.
Table 2
Description of sample by bank category and data availability.
Number of banks Google Trends
Data No data Total %Data
1. Banks allowed to accept deposits in the UK

1.1 Retail, private or universal banks
1.1.1 Pure play internet banks 3 0 3 100%
1.1.2 Banks incorporated in the UK 84 19 103 82%
1.1.3 Banks incorporated in the EEA 59 1 60 98%
authorized to accept deposits in the UK
1.1.4 Banks incorporated outside the EEA 49 13 62 79%
authorized to accept deposits in the UK
1.2 Specialized banks 51 35 86 59%
2. Banks not allowed to accept deposits in the UK 9 15 24 38%
Total 255 83 338 75%
Notes: The column labelled “Data” shows the number of banks in each category for which data on search volumes for bank names in Google Trends
are available. The column labelled “No data” shows the number of banks for which no such data were available. The column labelled “%Data” shows
for each category the percentage of banks for which data are available.
4
ASAFE ASAVINGS
3 1.2
2 0.8
1 0.4
0 0.0
-1 -0.4
-2 -0.8
I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV
2007 2008 2009 2007 2008 2009
ADEPOSITS AFSI
2 4
3
1
2
0 1
0
-1
-1
-2 -2
2007 2008 2009 2007 2008 2009
ACISS
.3
.2
.1
.0
-.1
-.2
-.3
-.4
I II III IV I II III IV I II III IV
2007 2008 2009
Fig. 1. Times series of crisis indicators

Note: This figure plots times series for abnormal search volumes for the Google terms “safe” (ASAFE), “savings” (ASAVINGS) and “deposits”
(ADEPOSITS) and for abnormal values of the Financial Stress Index (AFSI) and the Composite Indicator of Systemic Stress (ACISS). See Table 1 for
full variable definitions.
Table 3 reports the correlation coefficients of the crisis indicators. For the full sample period, the correlation coefficients are
between 0.28 and 0.67. When we reduce the window around the Lehman collapse to the period August–December 2008, the cor-
relation coefficients increase to values between 0.61 and 0.82, owing to the increased weight of the common peak in October 2008.
As Kliesen et al. (2012) found, the financial stress indicators are strongly correlated, both in the full sample period and in the shorter
5
Banks incorporated in the UK Branches of EEA banks
.5 .6
.4
.4
.3
.2
.2
.1
.0
.0
-.2
-.1
-.2 -.4
2007 2008 2009 2007 2008 2009
Branches of non-EEA banks PPI banks
.5 2.0
.4
1.5
.3
1.0
.2
.1 0.5
.0
0.0
-.1
-0.5
-.2
-.3 -1.0
2007 2008 2009 2007 2008 2009
Fig. 2. Time series of abnormal search volume index (ASVI) by bank category
Note: This figure plots times series of abnormal search volumes (ASVI), averaged by bank category. It distinguishes between banks incorporated in
the UK, banks incorporated in another EEA country that operate in the UK through branches, banks incorporated outside the EEA that operate in the
UK through branches and banks employing the pure play internet business model (PPI banks).
Table 3
Coefficients of correlation between crisis indicators.
ASAFE ASAVINGS ADEPOSITS AFSI ACISS
ASAFE 0.54 0.38 0.40 0.37

ASAVINGS 0.80 0.28 0.36 0.37
ADEPOSITS 0.82 0.70 0.30 0.37
AFSI 0.69 0.62 0.66 0.65
ACISS 0.61 0.64 0.69 0.81
Notes: The crisis indicators are abnormal search volumes for the Google terms “safe” (ASAFE), “savings” (ASAVINGS), and “deposits” (ADEPOSITS)
and abnormal values of the Financial Stress Index (AFSI) and the Composite Indicator of Systemic Stress (ACISS). Full-sample correlation coefficients
are in the top-right triangle (in italics); correlation coefficients for the period August–December 2008 are in the bottom-left triangle.
subperiod.
The use of Granger causality tests assumes that the time series are stationary. In addition, the proper specification of the re-
lationship between abnormal search volumes and crisis indicators requires information on stationarity. In order to determine the
level of integration of all variables, Table 4 reports test statistics for (panel) unit root tests. Panel A summarizes four unit root tests for
a panel of abnormal search volumes for banks i (ASVIi,t) and a panel of bank CDS rates (CDSi,t). The panel unit root tests reject the null
hypothesis of nonstationarity of ASVIi,t and CDSi,t at a 1% significance level. The unit root tests for the crisis indicators are reported in
panel B. The null hypothesis of nonstationarity is rejected according to all tests, with the exception of the KPSS-test for ACISSt. Given
these results, we can estimate the Granger causality tests and the panel regression models in levels.
6
Table 4
Unit root tests.
Panel A: Panel unit roots tests
Common unit root process Individual unit root processes
Levin, Lin Chu Im, Pesaran, Shin ADF–Fisher PP–Fisher
ASVIi −160.8*** −102.9*** 7771.1*** 7833.3***

CDSi −3.7*** −5.7*** 269.6*** 304.8***
Panel B: Univariate unit roots tests
ADF PP KPSS
ASAFE −7.94*** −7.91*** 0.10

ASAVINGS −7.36*** −7.40*** 0.07
ADEPOSITS −10.02*** −10.06*** 0.17
AFSI −4.12*** −3.59*** 0.27
ACISS −5.07*** −5.12*** 0.49**
Notes: The panel variables are the abnormal search volume for the name of bank i (ASVIi) and the log of the credit default swap rate for bank i
(CDSi). The variables for the univariate unit root tests are the abnormal search volumes for the Google terms “safe” (ASAFE), “savings” (ASAVINGS),
and “deposits” (ADEPOSITS) and abnormal values of the Financial Stress Index (AFSI) and the Composite Indicator of Systemic Stress (ACISS).
Significance levels are indicated as * p < .10; ** p < .05; *** p < .01. ADF denotes the Augmented Dickey-Fuller test, PP denotes the Phillips-
Perron test, and KPSS denotes the Kwiatowski, Phillips, Schmidt, and Shin test.
2.3. Empirical approach
We examine the temporal relationship between ASVIi,t and CDSi,t using panel Granger causality tests. We run two-variable
Granger causality tests for the panel of 68 banks for which CDS rates are available. Consider the following bivariate autoregressive
model:
K K
ASVIi, t = α1, i + ∑ γ1,(ki ) ASVIi,t−k + ∑ β1,(ki ) CDSi,t−k + ε1,i,t
k=1 k=1 (2)
K K
CDSi, t = α2, i + ∑ γ2,(ki) CDSi,t−k + ∑ β2,(ki) ASVIi,t−k + ε2,i,t ,
k=1 k=1
where subscript i denotes the bank, subscript t the time period, and ε1,i,t and ε2,i,t the errors. The causality tests use a variety of lag
structures. Index k indicates the lag, which runs from 1 to K. We report statistics for a causality test that assumes that the coefficients
β1,i, β2,i, γ1,i, and γ2,i are common across all cross-sectional units and a test that allows for individual, i.e., bank-specific, coefficients
(Dumitrescu & Hurlin, 2012). In testing for Granger causality in Eq. (2), the coefficients of interest are the β1's and β2's. For the test
using common coefficients, the null hypothesis that CDSi,t does not cause ASVIi,t is rejected when the β1 coefficients significantly differ
from zero; the null hypothesis that ASVIi,t does not cause CDSi,t is rejected when the β2 coefficients significantly differ from zero. For
the test using individual coefficients, the null hypothesis that CDSi,t does not homogenously cause ASVIi,t holds when all β1,i's are
insignificantly different from zero. Under the alternative hypothesis, Granger causality runs from CDSi,t to ASVIi,t when β1,i sig-
nificantly differs from zero for at least one cross-section unit. Analogously, the same applies to β2,i for causality running from ASVIi,t
to CDSi,t. We stress that Granger causality does not imply the existence of a true cause-and-effect relationship, but rather establishes a
predictive relationship in time.
We next investigate the relationship between abnormal depositor attention and crisis indicators using dynamic panel models. The
influence of banking structure and business model is modelled using the dummy variables defined above. As a preliminary test, we
examine whether ASVIi,t reacts more strongly to crisis indicators for banks that take deposits from the public (i.e., banks for which
RPUi equals one) than for other banks. To this end we estimate the following dynamic panel model:
ASVIi, t = α + β1 ASVIi, t − 1 + β2 CDSi, t + β3 CRISISt + β4 CRISISt ∗ RPUi + εi, t . (3)
In Eq. (3), subscript i denotes the bank and t the time period. CRISISt denotes one of the five crisis indicators introduced above.
Because of possible multicollinearity issues, the crisis indicators are included in separate panel regressions. To allow for persistence in
search volumes, we include a lag of the dependent variable (ASVIi,t-1). We include CDSi,t to capture the markets' perception of the
riskiness of individual banks, as opposed to the general crisis mood. The errors are denoted εi,t. The term of interest is CRISISt*RPUi,
which measures the interaction between crisis indicators and bank type. We hypothesize that, in times of crisis, depositors will surf
the internet for information on how the crisis will affect their bank and that this effect will be stronger for deposit-taking banks than
for specialized banks. In terms of Eq. (3), this implies that we expect coefficient β4 to be positive and significant.
Our final panel model examines the relationship among abnormal search volumes, crisis indicators, and measures of banking
7
Table 5
Panel Granger causality tests for abnormal search volumes and CDS rates.
Test statistics for H0: CDSi does not Granger cause ASVIi Test statistics for H0: ASVIi does not Granger cause CDSi
Panel A: Test assumes common coefficients across cross-section units

#lags F P-value F P-value
1 0.005 0.943 3.706* 0.054
2 1.153 0.316 3.655** 0.026
4 1.934 0.102 3.258** 0.011
Panel B: Test assumes individual coefficients across cross-section units

#lags Zbar P-value Zbar P-value
1 0.505 0.614 4.392 0.000
***
2 −0.288 0.773 1.806* 0.071
4 −0.092 0.927 1.482 0.138
Notes: The panel variables are the abnormal search volume for the name of bank i (ASVIi) and the log of the credit default swap rate for bank i
(CDSi). The Zbar statistic is defined by Dumitrescu and Hurlin (2012). Significance levels are indicated as * p < .10; ** p < .05; *** p < .01. See
also Eq. (2).
structure and business model:

ASVIi, t = α + β1 ASVIi, t − 1 + β2 CDSi, t + β3 CRISISt + β4 CRISISt ∗ EEAi + β5 CRISISt ∗ NONEEAi + β6 CRISISt ∗ PPIi + εi, t .
(4)
Eq. (4) deviates from Eq. (3) by including three interaction terms that capture the interaction between the crisis indicators and the
dummy variables for banking structure and PPI banking. We hypothesize that for EEA banks that are not covered by the FSCS, ASVIi,t
reacts more strongly to CRISISt than for banks that are protected by the FSCS (i.e., banks incorporated in the UK and branches of non-
EEA banks). In terms of Eq. (4), this implies that we expect β4 to be positive and significant and β5 to be insignificant. For the small
number of PPI banks in our sample we predict an especially strong reaction of search volumes to the crisis, which would be reflected
in a high, positive, and significant value for β6. As the risk characteristics of individual banks may influence the relationship among
ASVIi,t, CRISISt, and the dummy variables for banking structure and business model, our analysis again includes CDS rates for
individual banks. Given the estimation results for Eq. (3), we have estimated Eq. (4) for deposit-taking banks only (i.e., for banks for
which RPUi equals one). Because of the transformation to abnormal search volumes in Eq. (1), fixed effects capturing the bank-
specific level in ASVIi,t are negligible. For this reason, the panel estimates do not include fixed effects. We estimate a GLS specification
to account for cross-sectional heteroscedasticity and calculate robust standard errors according to the White procedure.
2. Empirical results
Table 5 reports the findings for the panel Granger causality tests in Eq. (2). The results point to causality running from abnormal
search volumes to bank CDS rates. The null hypothesis that CDSi,t does not Granger cause ASVIi,t cannot be rejected. This conclusion
holds for the test based on common coefficients and for the Dumitrescu and Hurlin (2012) test assuming individual coefficients across
banks. It is also independent of lag length. In contrast, the null hypothesis that ASVIi,t does not Granger cause CDSi,t can be rejected at
a 10% level for five out of six tests. This conclusion is strongest for the test based on common coefficients. Overall, the evidence in
favor of causality running from ASVIi,t to CDSi,t is strongest. This suggests that abnormal search volumes for bank names are a timely
indicator of bank credit risk and is compatible with Schaffner's (2015) finding that search volumes predict bank failures.
Turning to the panel estimates, Table 6 reports the results for Eq. (3). For all specifications, the intercept is insignificant at a 5%
level and the lagged dependent variable (ASVIi,t-1) is significant at a 1% level. The individual bank CDS rates are significant at a 5%
level for the market-based crisis indicators (AFSIt and ACISSt), but less so for ASAFEt, ASAVINGSt, and ADEPOSITSt. The coefficient of
the interaction term CRISISt*RPUi is positive and significant at a 1% level across all specifications. In contrast, the coefficient of
CRISISt has the wrong sign and is insignificant in two specifications. This strongly suggests that abnormal search volumes are linked
to crisis indicators for deposit-taking banks but not for specialized banks. It also supports the hypothesis that surges in depositor
attention are the driving force behind abnormal search volumes.
Given the results in Table 6, we drop specialized banks from our final panel model and include dummy variables measuring the
branch model and PPI banking. Table 7 reports the estimates for Eq. (4). The coefficient estimates for the intercept, ASVIi,t-1 and
CDSi,t, are similar to those in Table 6. Restricting the sample to deposit-taking banks yields coefficient estimates for CRISISt that are
positive and significant at a 1% level across all crisis indicators. Turning to the interaction terms, we observe a striking difference
between CRISISt*EEAi and CRISISt*NONEEAi. The coefficients for CRISISt*EEAi are positive and significant, mostly at a level of at least
5%, while the coefficients for CRISISt*NONEEAi are insignificant across all specifications. This finding provides support for the
hypothesis that abnormal search volumes for EEA banks operating in the UK through branches react more strongly to crisis indicators
than abnormal search volumes for banks that are protected by the FSCS (i.e., banks incorporated in the UK and branches of non-EEA
banks). Note that the coefficient of CRISISt*EEAi is most significant for CISSt, which measures systemic stress in Europe. In other
words, stress in Europe's financial system has a strong effect on depositor attention for EEA banks operating in the UK through
branches. A possible explanation for this finding is that these branches do not participate in the UK's FSCS. Instead, depositor
8
Table 6
Panel estimates for ASVIi,t - influence of bank type.
Crisis indicator: ASAFEt ASAVINGSt ADEPOSITSt AFSIt ACISSt
INTERCEPT −0.055 −0.043 −0.016 −0.069* −0.070*

(0.035) (0.035) (0.035) (0.036) (0.035)
ASVIi,t-1 0.218*** 0.229*** 0.224*** 0.222*** 0.225***
(0.014) (0.013) (0.014) (0.014) (0.014)
CDSi,t 0.012* 0.010 0.006 0.015** 0.016**
(0.007) (0.007) (0.007) (0.007) (0.007)
CRISISt −0.033** −0.161** −0.054 −0.015** −0.186
(0.015) (0.081) (0.040) (0.008) (0.124)
CRISISt*RPUi 0.141*** 0.378*** 0.120*** 0.051*** 0.513***
(0.019) (0.084) (0.041) (0.011) (0.134)
N 5411 5411 5411 5411 5411
Adj. R2 0.091 0.092 0.073 0.066 0.075
DW 2.057 2.054 2.058 2.037 2.044
Notes: The dependent variable is the abnormal search volume for the name of bank i (ASVIi). CDSi denotes the log of the credit default swap rate for
bank i. RPUi is a dummy variable that equals one if bank i is a retail, private, or universal bank accepting deposits in the UK. CRISIS denotes one of
the following crisis indicators: the abnormal search volumes for the Google terms “safe” (ASAFE), “savings” (ASAVINGS), and “deposits” (ADEP-
OSITS) and abnormal values of the Financial Stress Index (AFSI) and the Composite Indicator of Systemic Stress (ACISS). Significance levels are
indicated as * p < .10; ** p < .05; *** p < .01. See also eq. (3).
Table 7
Panel estimates for ASVIi,t - influence of branch model and PPI banking.
Crisis indicator: ASAFEt ASAVINGSt ADEPOSITSt AFSIt ACISSt
INTERCEPT −0.059* −0.040 −0.017 −0.073 −0.074**

(0.036) (0.035) (0.036) (0.037) (0.036)
ASVIi,t-1 0.218*** 0.228*** 0.224*** 0.224*** 0.226***
(0.014) (0.014) (0.014) (0.014) (0.014)
CDSi,t 0.013* 0.009 0.005 0.016** 0.017**
(0.007) (0.007) (0.007) (0.008) (0.007)
CRISISt 0.087*** 0.165*** 0.049*** 0.027*** 0.203***
(0.015) (0.027) (0.010) (0.010) (0.057)
CRISISt*EEAi 0.052** 0.108** 0.063*** 0.029* 0.434***
(0.025) (0.051) (0.021) (0.017) (0.012)
CRISISt*NONEEAi 0.012 0.045 −0.013 0.001 0.114
(0.024) (0.047) (0.021) (0.016) (0.108)
CRISISt*PPIi 0.121** 0.320*** 0.048 0.033 −0.168
(0.051) (0.094) (0.048) (0.050) (0.291)
N 5143 5143 5143 5143 5143
Adj. R2 0.096 0.100 0.077 0.069 0.075
DW 2.062 2.053 2.060 2.037 2.044
Notes: The sample includes retail, private, and universal banks (RPUi = 1). The dependent variable is the abnormal search volume for the name of
bank i (ASVIi). CDSi denotes the log of the CDS rate for bank i. EEAi and NONEEAi are dummy variables that equal one if bank i is branching from the
EEA or from outside the EEA, respectively. PPIi is a dummy variable denoting a pure play internet bank. CRISIS denotes one of the following crisis
indicators: the abnormal search volumes for the terms “safe” (ASAFE), “savings” (ASAVINGS), and “deposits” (ADEPOSITS) and abnormal values of
the Financial Stress Index (AFSI) and the Composite Indicator of Systemic Stress (ACISS). Significance levels are indicated as * p < .10; ** p < .05;
*** p < .01. See also Eq. (4).
protection depends on a foreign agency, which may be perceived as less familiar and trustworthy.
We finally turn our attention to PPI banks. The number of PPI banks in our sample is extremely small, limiting the power of the
statistical analysis. Nonetheless, we find a strong and significant interaction effect between CRISISt and PPIi. for the crisis indicators
ASAFEt and ASAVINGSt. This suggests that when depositors worry about the safety of their money, PPI banks may be more vulnerable
to deposit flight: this business model may have a less stable funding base than traditional banks.
3. Conclusions
Following the literature on investor attention in financial markets, this paper tests several hypotheses on the relationship between
depositor attention and crisis indicators during the global financial crisis. We first examine whether search volumes add information
to a market-based measure of credit risk. We find that abnormal search volumes for bank names Granger cause bank CDS rates,
suggesting that search volume is a timely indicator of credit risk. This result is in line with Schaffner's (2015) findings that search data
can be used to predict bank failures.
Next, we relate abnormal search volumes for bank names to crisis indicators that capture either financial stress or general
9
depositor anxiety. We start from the assumption that during a crisis depositors will search the internet to find out how the crisis will
affect their bank. We find that this effect is stronger for banks that attract deposits from the public than for banks that specialize in
other lines of business.
This paper pays special attention to two issues relating to bank stability. First, depositors using foreign branches that do not
participate in the host country's deposit guarantee scheme may experience greater uncertainty regarding the quality of foreign
supervision and the ability of home authorities to protect their deposits. We find that, indeed, search volumes for EEA banks op-
erating in the UK through branches react more strongly to crisis indicators than search volumes for banks incorporated in the UK, and
that this effect is absent for non-EEA banks operating in the UK through branches, which do participate in the host country's deposit
guarantee scheme. Second, we pay separate attention to PPI banks, whose client base may be less stable than that of traditional banks.
When depositors seek safety in times of crisis, a PPI bank may be more vulnerable than traditional banks. Although the evidence is
mixed, we find that the search volumes for PPI banks are sensitive to some of our crisis indicators. However, this analysis suffers from
the small number of PPI banks that are active in the UK.
In banking research, the use of Google search volumes is still scarce. The findings in this paper suggest that Google data can
uncover timely information on depositor anxiety and that depositor anxiety is related to structural characteristics of banks. Needless
to say, such information is valuable for banking supervisors.
Acknowledgements
This research did not receive any specific grant from funding agencies in the public, commercial, or not-for-profit sectors. I would
like to thank the referee for helpful comments and suggestions.
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3. “Investment efficiency: Dual-class vs. Single-class firms” [Global Finance Journal, 2020; 45: 100477] doi:https://doi.org/10.
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11. “Are socially responsible firms less likely to restate earnings?” [Global Finance Journal, 2020; 38: 97–109] doi:https://doi.org/
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12. “Regulatory responses to banking crisis: Lessons from Japan” [Global Finance Journal, 2019; 39: 10–16] doi:https://doi.org/
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13. “Benchmark error and socially responsible investments” [Global Finance Journal, 2018; 38: 24–29] doi:https://doi.org/10.
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14. “Stock market integration between the UK and the US: Evidence over eight decades” [Global Finance Journal, 2019; 41: 32–43]
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Global Finance Journal

Internet search volumes of UK banks during the crisis: The role of

E-mail address: arnold@ese.eur.nl.

2. Data and methods

a. banks incorporated in the UK;

ASVIi, t = log(SVIi, t )–log[Med (SVIi, t − 1,…, SVIi, t − 8 )]. (1)

Variables from Google trends

2.2. Descriptive statistics

Data No data Total %Data

1. Banks allowed to accept deposits in the UK

Fig. 1. Times series of crisis indicators

Banks incorporated in the UK Branches of EEA banks

Branches of non-EEA banks PPI banks

ASAFE 0.54 0.38 0.40 0.37

Common unit root process Individual unit root processes

Levin, Lin Chu Im, Pesaran, Shin ADF–Fisher PP–Fisher

ASVIi −160.8*** −102.9*** 7771.1*** 7833.3***

Panel B: Univariate unit roots tests

ASAFE −7.94*** −7.91*** 0.10

2.3. Empirical approach

Panel A: Test assumes common coeﬃcients across cross-section units

Panel B: Test assumes individual coeﬃcients across cross-section units

structure and business model:

INTERCEPT −0.055 −0.043 −0.016 −0.069* −0.070*

INTERCEPT −0.059* −0.040 −0.017 −0.073 −0.074**

Contents lists available at ScienceDirect

Global Finance Journal

Erratum regarding missing Declaration of Competing Interest

DOIs of original article: https://doi.org/10.1016/j.gfj.2018.02.002, https://doi.org/10.1016/j.gfj.2019.100479, https://doi.org/10.1016/j.gfj.

Available online 13 January 2021

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ASVIi −160.8* −102.9* 7771.1* 7833.3*

ASAFE −7.94* −7.91* 0.10