Asymmetric impact of social media sentiments and stock market uncertainty on Indian sectoral returns: A quantile-on-quantile approach

Hera Asif Khan and Rishman Jot Kaur Chahal

The North American Journal of Economics and Finance, 2025, vol. 79, issue C

Abstract: The study investigates the impact of social media sentiments and stock market uncertainty on Indian sectoral returns during various market conditions. We use the daily returns of eleven sectors and social media sentiments, including the Optimism Index (OI) and Pessimism Index (PI), as well as the stock market uncertainty (VIX) over the period from 2011 to 2022. Instead of employing a mean-based approach, we employ nonparametric quantile-based techniques. Specifically, the findings from both quantile regression (QR) and quantile-on-quantile regression (QQR) (Sim & Zhou, 2015) indicate that (i) OI shows a positive (negative) relationship with sectoral returns across the bullish (bearish) periods in information technology, metal, auto, energy, realty, oil & gas, and financial sectors, (ii) PI consistently shows a strong (weak) negative relationship with all the sectors across the bearish (bullish) periods except healthcare and pharma, and (iii) VIX indicates an asymmetrically negative relationship with sectoral returns across all market conditions in all the sectors. Moreover, OI and PI have negligible impact on the healthcare and pharma sectors. Our findings hold substantial importance for investors and policymakers.

Keywords: Indian sectoral returns; Social media sentiments; Stock market uncertainty; Quantile-on-quantile regression (search for similar items in EconPapers)
JEL-codes: C22 G1 G11 G4 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000968

DOI: 10.1016/j.najef.2025.102456

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