The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter
Dehua Shen () and
Physica A: Statistical Mechanics and its Applications, 2018, vol. 508, issue C, 67-75
In this paper, we explore the cross-correlations between two commonly-employed online sentiment proxies, i.e., the Financial and Economic Attitudes Revealed by Search (FEARS) from Google Trends and Daily Happiness Sentiment (DHS) from Twitter, with the methodology of MF-DCCA. The empirical results mainly show that: firstly, there exists power-law cross-correlation between the FEARS and DHS and the cross-correlation between them perform multifractality; secondly, the degree of multifractality in short term is significantly smaller than that in long term indicating a more stable cross-correlation in short term; finally, with the rolling window analysis, we further find that the evolution of the cross-correlations between FEARS and DHS is erratic.
Keywords: MF-DCCA; Investor sentiment; Cross-correlations; Daily Happiness Sentiment; Twitter; Google Trends (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:508:y:2018:i:c:p:67-75
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