The impact of Twitter-based sentiment on US sectoral returns

The impact of Twitter-based sentiment on US sectoral returns

This paper scrutinizes the effect of Twitter-based sentiment on US sectoral returns using data from between 21 June 2010 and 13 April 2020. We apply causality in quantiles as a non-parametric measure, followed by a rolling window wavelet correlation. The former measures the manifestation of causalit...

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Bibliographic Details
Main Author: Zeitun, Rami (author)
Other Authors: Rehman, Mobeen Ur (author), Ahmad, Nasir (author), Vo, Xuan Vinh (author)
Format: article
Published: 2022
Subjects:
US sectoral returns
Investor sentiments
S&P 500
Causality
Wavelet correlation
Online Access:http://dx.doi.org/10.1016/j.najef.2022.101847
https://www.sciencedirect.com/science/article/pii/S1062940822001826
http://hdl.handle.net/10576/47355
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http://dx.doi.org/10.1016/j.najef.2022.101847
https://www.sciencedirect.com/science/article/pii/S1062940822001826
http://hdl.handle.net/10576/47355

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