Quantifying the correlation and prediction of daily happiness sentiment and stock return: The Case of Singapore

Ruwei Zhao

Physica A: Statistical Mechanics and its Applications, 2019, vol. 533, issue C

Abstract: In this paper, with the newly emerged Twitter happiness index, we employ the VAR regression, linear, and nonlinear Granger causality tests to investigate the predictive correlations between daily happiness sentiment (DHS) and Singapore Straits Times Index (STI) stock performance indicators. The empirical results reveal that DHS presents significant predictability with future STI return. While, for the realized volatility, no compelling forecasting powers are detected. We also perform another two subsample tests as robustness checks. In general, the subsample results are in line with those of the full sample.

Keywords: Twitter happiness index; Singapore Straits Times Index; VAR regression; Nonlinear Granger causality test (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:533:y:2019:i:c:s0378437119311550

DOI: 10.1016/j.physa.2019.122020

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