Daily happiness and stock returns: Some international evidence
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http://dx.doi.org/10.1016/j.physa.2016.05.026 |
Metadades
Títol
Daily happiness and stock returns: Some international evidenceData de publicació
2016-10-15Editor
ElsevierCita bibliogràfica
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. 201-209Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
http://www.sciencedirect.com/science/article/pii/S0378437116302114Paraules clau / Matèries
Resum
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. [-]
Publicat a
Physica A: Statistical Mechanics and its Applications (2016), v. 460Drets d'accés
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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