In Search of the Bear?

Is intensity of public interest in a "bear market" useful for predicting stock market return? To investigate, we download monthly U.S. Google Trends search intensity data for "bear market" and relate this series to monthly S&P 500 Index returns. For comparison with the "investor fear gauge," we also relate search data to monthly CBOE option-implied S&P 500 Index volatility (VIX) levels. Google Trends analyzes a percentage of Google web searches to estimate the number of searches done over a certain period. "Each data point is divided by the total searches of the geography and time range it represents to compare relative popularity... The resulting numbers are then scaled on a range of 0 to 100 based on a topic’s proportion to all searches on all topics." Using the specified data as of 9/14/2021 for the period January 2004 (earliest available on Google Trends) through August 2021, we find that: