Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US

Ruwei Zhao

Physica A: Statistical Mechanics and its Applications, 2020, vol. 538, issue C

Abstract: In this paper, we utilize the natural log value of Twitter happiness index as the measurement for investor daily happiness sentiment (DHS) and investigate its cross-sectional correlations with twelve US indices. With correlation coefficients and Granger causality tests, we find contemporaneous and long-term interactions between DHS and indices returns. In addition, we discover noticeable return differences across quantile subgroups and the differences are further qualified with significant statistics. We also carry out another robustness check with altered quantile setting. In general, the robustness results show no divergence with prior empirical findings.

Keywords: Twitter happiness index; US Indices; Correlation coefficients; Granger causality test; Cross sectional relation (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437119315031
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:phsmap:v:538:y:2020:i:c:s0378437119315031

DOI: 10.1016/j.physa.2019.122629

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().