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

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  • Zhao, Ruwei

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.

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  • Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    • Handle: RePEc:eee:phsmap:v:538:y:2020:i:c:s0378437119315031
    DOI: 10.1016/j.physa.2019.122629
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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. 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).
    4. 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).
    5. 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.
    6. 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).
    7. 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).

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    More about this item

    Keywords

    Twitter happiness index; US Indices; Correlation coefficients; Granger causality test; Cross sectional relation;
    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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