I want to see if a change in the volume of Google searches of a company affects that company's stock price. I have time series data from Google Trends and daily close price of the stocks in question, and I was thinking of doing the following:
Take daily percentage changes for both data sets, find correlation between Google search volume (x) and stock price (y), regress y on x.
I understand that correlation does not imply causality, but am I on the right track or should I be taking a different approach? I have some basic statistics knowledge but a relative beginner when it comes to time series data. Thank you!