EconPapers    
Economics at your fingertips  
 

Twitter's daily happiness sentiment and the predictability of stock returns

Wanhai You, Yawei Guo and Cheng Peng

Finance Research Letters, 2017, vol. 23, issue C, 58-64

Abstract: Using a novel investor sentiment proxy extracted from Twitter, this paper investigates whether investor sentiment as expressed in daily happiness has predictive power for stock returns in 10 international stock markets. To account for complex relationships between sentiment and stock returns, a Granger non-causality test in quantiles is used. Our empirical results indicate that the causal relations vary across different quantiles. We observe that the causal relationship from happiness sentiment to stock returns exist only in high quantiles interval. The causal relationship from stock returns to happiness sentiment exists only in the tail area.

Keywords: Investor sentiment; Daily happiness; Stock returns; Granger non-causality; Quantile regression (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612317300193
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:finlet:v:23:y:2017:i:c:p:58-64

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2018-03-24
Handle: RePEc:eee:finlet:v:23:y:2017:i:c:p:58-64