Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index

Imran Yousaf, Manel Youssef and John W. Goodell

International Review of Financial Analysis, 2022, vol. 83, issue C

Abstract: We examine the quantile connectedness of returns between the recently developed S&P 500 Twitter Sentiment Index and various asset classes. Rather than a mean-based connectedness measure, we apply quantile-connectedness to explore connectedness of means and, especially, extreme left and right tails of distributions. Using mean-based connectedness measures, the level of return connectedness between the twitter sentiment index and all financial markets is a modest 46%. However, when applying a novel quantile-based connectedness approach, we find that levels of tail-connectedness are much stronger, up to 82%, at extreme upper and lower tails. This suggests that the impact of sentiment on financial markets is much stronger during extreme positive/negative sentiment shocks. Moreover, return connectedness measures are less volatile during extreme events. Net connectedness analysis shows that the Twitter sentiment index acts as a net transmitter of return spillovers, highlighting the leading role of investor sentiment on predicting other financial markets.

Keywords: S&P500 twitter sentiment index; Financial markets; Quantile-based connectedness measures; Extreme sentiment spillovers (search for similar items in EconPapers)
JEL-codes: C32 G12 G14 G41 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521922002745
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: https://EconPapers.repec.org/RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002745

DOI: 10.1016/j.irfa.2022.102322

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
Bibliographic data for series maintained by Catherine Liu ().