 Does social network sentiment influence the relationship between the S&P 500 and gold returns?Juan Piñeiro-Chousa, M. Ángeles López-Cabarcos, Ada María Pérez-Pico and Belén Ribeiro-Navarrete International Review of Financial Analysis, 2018, vol. 57, issue C, 57-64 Abstract: This study explored the relationship between investor sentiment (extracted from the StockTwits social network), the S&P 500 Index and gold returns. We investigated bilateral causality between gold prices and S&P 500 prices, the power of investor sentiment and gold returns to predict S&P 500 returns, and the influence of gold returns on S&P 500 volatility. We also considered whether the influence of sentiment varies according to the user's degree of experience. We considered the sentiment of messages that mentioned the S&P 500 Index and that users posted between 2012 and 2016. Granger causality analysis, ARIMA models and GARCH models were used for predicting S&P 500 Index returns and S&P 500 volatility. We observed a causal relationship between gold price and the S&P 500 Index. Our results also suggest that sentiment and gold returns predict S&P 500 Index returns. Finally, we observed that gold returns influence S&P 500 volatility and that the sentiment of experienced users affects S&P 500 returns. Keywords: Social media sentiment; Gold; S&P 500; ARIMA; GARCH (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:57:y:2018:i:c:p:57-64 DOI: 10.1016/j.irfa.2018.02.005 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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