Facebook's daily sentiment and international stock markets

Siganos, Antonios; Vagenas-Nanos, Evangelos; Verwijmeren, Patrick

Abstract

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.

Citation

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

• Journal Article Type: Article
• Acceptance Date: Jun 10, 2014
• Online Publication Date: Jun 14, 2014
• Publication Date: 2014-11
• Deposit Date: Jul 6, 2021
• Journal: Journal of Economic Behavior & Organization
• Print ISSN: 0167-2681
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 107, part B
• Pages: 730-743
• DOI: https://doi.org/10.1016/j.jebo.2014.06.004
• Keywords: Behavioral finance, Sentiment, Facebook's gross national happiness index
• Public URL: http://researchrepository.napier.ac.uk/Output/2785057