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Twitter’s daily happiness sentiment and international stock returns: Evidence from linear and nonlinear causality tests

Author

Listed:
  • Zhang, Wei
  • Wang, Pengfei
  • Li, Xiao
  • Shen, Dehua

Abstract

With newly emerged daily happiness sentiment (dhs) from Twitter, we find strong evidence that dhs can Granger cause indexes returns in linear causality test, while the opposite direction is more prominent in nonlinear causality test. Besides, dhs and indexes returns exhibit strong nonlinear relationships in American, while dhs cannot Granger cause indexes returns in Middle East and North Africa. Taken together, all these findings indicate interdependencies between online activities and stock markets.

Suggested Citation

  • Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Twitter’s daily happiness sentiment and international stock returns: Evidence from linear and nonlinear causality tests," Journal of Behavioral and Experimental Finance, Elsevier, vol. 18(C), pages 50-53.
    • Handle: RePEc:eee:beexfi:v:18:y:2018:i:c:p:50-53
    DOI: 10.1016/j.jbef.2018.01.005
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    More about this item

    Keywords

    Twitter happiness sentiment; Linear and nonlinear causality; International stock returns; Investor sentiment;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G4 - Financial Economics - - Behavioral Finance

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