Facebook's daily sentiment and international stock markets
Journal of Economic Behavior & Organization , Volume 107 - Issue PB p. 730- 743
We examine the relation between daily sentiment and trading behavior within 20 international markets by exploiting Facebook's Gross National Happiness Index. We find that sentiment has a positive contemporaneous relation to stock returns. Moreover, sentiment on Sunday affects stock returns on Monday, suggesting causality from sentiment to stock markets. We observe that the relation between sentiment and returns reverses the following weeks. We further show that negative sentiments are related to increases in trading volume and return volatility. These results highlight the importance of behavioral factors in stock investing.
|ERIM Top-Core Articles|
|Journal of Economic Behavior & Organization|
|Organisation||Erasmus University Rotterdam|
Siganos, A, Vagenas-Nanos, E, & Verwijmeren, P. (2014). Facebook's daily sentiment and international stock markets. Journal of Economic Behavior & Organization, 107(PB), 730–743. doi:10.1016/j.jebo.2014.06.004