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Abstract In this paper, with the newly emerged Twitter happiness index, we employ the VAR regression, linear, and nonlinear Granger causality tests to investigate the predictive correlations between daily happiness… Click to show full abstract
Abstract In this paper, with the newly emerged Twitter happiness index, we employ the VAR regression, linear, and nonlinear Granger causality tests to investigate the predictive correlations between daily happiness sentiment (DHS) and Singapore Straits Times Index (STI) stock performance indicators. The empirical results reveal that DHS presents significant predictability with future STI return. While, for the realized volatility, no compelling forecasting powers are detected. We also perform another two subsample tests as robustness checks. In general, the subsample results are in line with those of the full sample.
Journal Title: Physica A: Statistical Mechanics and its Applications
Year Published: 2019
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