Facebook's daily sentiment and international stock markets

Siganos, A. , Vagenas-Nanos, E. and Verwijmeren, P. (2014) Facebook's daily sentiment and international stock markets. Journal of Economic Behavior and Organization, 107(B), pp. 730-743. (doi: 10.1016/j.jebo.2014.06.004)

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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.

Item Type:Articles
Glasgow Author(s) Enlighten ID:Verwijmeren, Professor Patrick and Vagenas-Nanos, Professor Evangelos and Siganos, Professor Antonios
Authors: Siganos, A., Vagenas-Nanos, E., and Verwijmeren, P.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:Journal of Economic Behavior and Organization
Publisher:Elsevier B.V.
ISSN (Online):0167-2681

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