Daily happiness and stock returns: Some international evidence
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http://dx.doi.org/10.1016/j.physa.2016.05.026 |
Metadatos
Título
Daily happiness and stock returns: Some international evidenceFecha de publicación
2016-10-15Editor
ElsevierCita bibliográfica
ZHANG, Wei; LI, Xiao; SHEN, Dehua; TEGLIO, Andrea. Daily happiness and stock returns: Some international evidence. Physica A: Statistical Mechanics and its Applications (2016), v. 460, pp. 201-209Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.sciencedirect.com/science/article/pii/S0378437116302114Palabras clave / Materias
Resumen
In this paper, we examine the relations between the daily happiness sentiment extracted from Twitter and the stock market performance in 11 international stock markets. By partitioning this happiness sentiment into ... [+]
In this paper, we examine the relations between the daily happiness sentiment extracted from Twitter and the stock market performance in 11 international stock markets. By partitioning this happiness sentiment into quintiles from the least to the happiest days, we first show that the contemporary correlation coefficients between happiness sentiment and index return in the 4 and most-happiness subgroups are higher than that in least, 2 and 3-happiness subgroups. Secondly, the happiness sentiment can provide additional explanatory power for index return in the most-happiness subgroup. Thirdly, the daily happiness can granger-cause the changes in index return for the majority of stock markets. Fourthly, we find that the index return and the range-based volatility of the most-happiness subgroup are larger than those of other subgroups. These results highlight the important role of social media in stock market. [-]
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Physica A: Statistical Mechanics and its Applications (2016), v. 460Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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