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

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  • Zhao, Ruwei

Abstract

In this paper, we initiate cross-sectional return skewness correlation study between investor daily happiness sentiment (DHS) and twenty-two US industry indices. The Twitter happiness index, originated from the world’s largest microblog platform, Twitter.com, is employed as the representative of DHS. Also, with quantile setting of DHS, we break our full sample into five subsamples and detect apparent and reliable skewness distinctions among DHS subgroups. We further implement the robustness check with altered subgroups for the credibility enhancement. In summary, the robustness results follow the steps of original findings.

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  • Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and return skewness: Evidence from US industries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    • Handle: RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020300873
    DOI: 10.1016/j.jbef.2020.100369
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    Cited by:

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    2. Byström, Hans, 2020. "Happiness and Gold Prices," Finance Research Letters, Elsevier, vol. 35(C).
    3. Naeem, Muhammad Abubakr & Farid, Saqib & Faruk, Balli & Shahzad, Syed Jawad Hussain, 2020. "Can happiness predict future volatility in stock markets?," Research in International Business and Finance, Elsevier, vol. 54(C).
    4. Chen, Qitong & Zhu, Huiming & Yu, Dongwei & Hau, Liya, 2022. "How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    5. Văn, Lê & Bảo, Nguyễn Khắc Quốc, 2022. "The relationship between global stock and precious metals under Covid-19 and happiness perspectives," Resources Policy, Elsevier, vol. 77(C).
    6. Chen, Wen-Yi & Chen, Mei-Ping, 2022. "Twitter’s daily happiness sentiment, economic policy uncertainty, and stock index fluctuations," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    7. Li, Yue & W. Goodell, John & Shen, Dehua, 2021. "Does happiness forecast implied volatility? Evidence from nonparametric wave-based Granger causality testing," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 113-122.

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    More about this item

    Keywords

    Twitter happiness index; US industry indices; Quantile setting; Cross sectional comparison;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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