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...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | , , |
| Format: | article |
| Published: |
2022
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!