Quantifying the cross sectional relation of daily happiness sentiment and return skewness: Evidence from US industries

Ruwei Zhao

Journal of Behavioral and Experimental Finance, 2020, vol. 27, issue C

Abstract: In this paper, we initiate cross-sectional return skewness correlation study between investor daily happiness sentiment (DHS) and twenty-two US industry indices. The Twitter happiness index, originated from the world’s largest microblog platform, Twitter.com, is employed as the representative of DHS. Also, with quantile setting of DHS, we break our full sample into five subsamples and detect apparent and reliable skewness distinctions among DHS subgroups. We further implement the robustness check with altered subgroups for the credibility enhancement. In summary, the robustness results follow the steps of original findings.

Keywords: Twitter happiness index; US industry indices; Quantile setting; Cross sectional comparison (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020300873

DOI: 10.1016/j.jbef.2020.100369

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