Facebook's daily sentiment and international stock markets
Antonios Siganos, Evangelos Vagenas-Nanos, Patrick Verwijmeren
JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION | ELSEVIER SCIENCE BV | Published : 2014
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.