Facebook’s daily sentiment and international stock markets

A Siganos, E Vagenas-Nanos, Patrick Verwijmeren

Research output: Contribution to journalArticleAcademicpeer-review

104 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)730-743
Number of pages14
JournalJournal of Economic Behavior and Organization
Volume107
Issue numberPart B
DOIs
Publication statusPublished - 2014

Fingerprint

Dive into the research topics of 'Facebook’s daily sentiment and international stock markets'. Together they form a unique fingerprint.

Cite this