Economics at your fingertips  

Daily happiness and stock returns: The case of Chinese company listed in the United States

Xiao Li, Dehua Shen (), Mei Xue and Wei Zhang

Economic Modelling, 2017, vol. 64, issue C, 496-501

Abstract: Existing literature exclusively focuses on the association between local investor sentiment and local stock market performance. In this paper, we investigate the contemporaneous and the lead-lag relationship between local daily happiness sentiment extracted from Twitter and stock returns of cross-listed companies, i.e., the Chinese companies listed in the United States. The empirical results show that: 1) by respectively controlling for the firm capitalization, liquidity and volatility, there exists the largest skewness on the Most-happiness subgroup. (2) There exist bi-directional relationships between daily happiness sentiment and market variables, i.e., the stock return, range-based volatility and excess trading volume. (3) There are significantly positive stock returns, higher excess trading volume and higher range-based volatility around the daily happiness sentiment spike days. These findings not only suggest that there exists significant interdependence between online activities and stock market dynamics, but also provide evidence for the existence of “home bias”.

Keywords: Twitter; Daily happiness sentiment; Home bias; Cross-listed companies; Statistical analyses; Granger causality (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.econmod.2017.03.002

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Haili He ().

Page updated 2020-06-17
Handle: RePEc:eee:ecmode:v:64:y:2017:i:c:p:496-501