Twitter’s daily happiness sentiment, economic policy uncertainty, and stock index fluctuations

Wen-Yi Chen and Mei-Ping Chen

The North American Journal of Economics and Finance, 2022, vol. 62, issue C

Abstract: This research applies quantile Granger causality and impulse-response analyses to evaluate the causal linkages among Twitter’s daily happiness sentiment, economic policy uncertainty (EPU), and S&P 500 indices across the U.S. stock market cycles. We present notable evidence of bi-directional causality among cyclical components of Twitter’s daily happiness sentiment, economic policy uncertainty, and S&P 500 indices for most quantiles. The causal linkage of Twitter’s daily happiness sentiment and S&P 500 indices identified in this study reconciles the so-called Easterlin Paradox and Easterlin Illusion arguments from previous studies on income-happiness relationship. Moreover, given a high (low) EPU level, the positive (negative) impulse-response effects between the Twitter’s daily happiness sentiment and the S&P 500 indices are justified during a stock market bust cycle, but the signs of these correlations change to negative (positive) during a stock market boom cycle. These findings imply that investors’ hedging strategies can be linked to the surveillance of the Twitter’s daily happiness sentiment index.

Keywords: Twitter’s daily happiness; Stock index; Economic policy uncertainty; Granger causality; Quantile impulse response (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001243

DOI: 10.1016/j.najef.2022.101784

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