Daily happiness and stock returns: Some international evidence

Wei Zhang, Xiao Li, Dehua Shen and Andrea Teglio

Physica A: Statistical Mechanics and its Applications, 2016, vol. 460, issue C, 201-209

Abstract: In this paper, we examine the relations between the daily happiness sentiment extracted from Twitter and the stock market performance in 11 international stock markets. By partitioning this happiness sentiment into quintiles from the least to the happiest days, we first show that the contemporary correlation coefficients between happiness sentiment and index return in the 4 and most-happiness subgroups are higher than that in least, 2 and 3-happiness subgroups. Secondly, the happiness sentiment can provide additional explanatory power for index return in the most-happiness subgroup. Thirdly, the daily happiness can granger-cause the changes in index return for the majority of stock markets. Fourthly, we find that the index return and the range-based volatility of the most-happiness subgroup are larger than those of other subgroups. These results highlight the important role of social media in stock market.

Keywords: Happiness sentiment; Social media; Range-based volatility; Kendall correlation coefficient; Granger causality (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (52)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:460:y:2016:i:c:p:201-209

DOI: 10.1016/j.physa.2016.05.026

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