Dynamic Cross-Correlation between Online Sentiment and Stock Market Performance: A Global View
This paper focuses on investigating the dynamic cross-correlation relationship between online sentiment and returns of major global stock markets based on the MF-DCCA method. We use Daily Happiness (DHS), an index derived from Twitter posts through textual analysis as a proxy of online sentiment. By...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2021-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2021/6674379 |
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| _version_ | 1832550960501620736 |
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| author | Kewei Xu Yuanyuan Pang Jiatong Han |
| author_facet | Kewei Xu Yuanyuan Pang Jiatong Han |
| author_sort | Kewei Xu |
| collection | DOAJ |
| description | This paper focuses on investigating the dynamic cross-correlation relationship between online sentiment and returns of major global stock markets based on the MF-DCCA method. We use Daily Happiness (DHS), an index derived from Twitter posts through textual analysis as a proxy of online sentiment. By dividing the global financial markets into developed and developing ones, we are able to test the heterogeneous relationship between stock market performance and sentiment at different economic developing level. Empirical results show that there exists a power-law cross-correlation relationship between financial market and online sentiment in some developed countries and all developing countries, and the relationship is more stable in the developing countries. Moreover, we apply rolling window analysis to capture the dynamic evolution characteristics and find the relationship has a strong consistency over time. Our work provides a much more delicate perspective to test the relationship between online sentiment and financial markets performance and enriches the existing literature. |
| format | Article |
| id | doaj-art-32655e8ce4314ab2b26334806473cd06 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-32655e8ce4314ab2b26334806473cd062025-02-03T06:05:16ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2021-01-01202110.1155/2021/66743796674379Dynamic Cross-Correlation between Online Sentiment and Stock Market Performance: A Global ViewKewei Xu0Yuanyuan Pang1Jiatong Han2College of Management and Economics, Tianjin University, Tianjin 300072, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaSchool of Finance, Tianjin University of Finance and Economics, Tianjin 300072, ChinaThis paper focuses on investigating the dynamic cross-correlation relationship between online sentiment and returns of major global stock markets based on the MF-DCCA method. We use Daily Happiness (DHS), an index derived from Twitter posts through textual analysis as a proxy of online sentiment. By dividing the global financial markets into developed and developing ones, we are able to test the heterogeneous relationship between stock market performance and sentiment at different economic developing level. Empirical results show that there exists a power-law cross-correlation relationship between financial market and online sentiment in some developed countries and all developing countries, and the relationship is more stable in the developing countries. Moreover, we apply rolling window analysis to capture the dynamic evolution characteristics and find the relationship has a strong consistency over time. Our work provides a much more delicate perspective to test the relationship between online sentiment and financial markets performance and enriches the existing literature.http://dx.doi.org/10.1155/2021/6674379 |
| spellingShingle | Kewei Xu Yuanyuan Pang Jiatong Han Dynamic Cross-Correlation between Online Sentiment and Stock Market Performance: A Global View Discrete Dynamics in Nature and Society |
| title | Dynamic Cross-Correlation between Online Sentiment and Stock Market Performance: A Global View |
| title_full | Dynamic Cross-Correlation between Online Sentiment and Stock Market Performance: A Global View |
| title_fullStr | Dynamic Cross-Correlation between Online Sentiment and Stock Market Performance: A Global View |
| title_full_unstemmed | Dynamic Cross-Correlation between Online Sentiment and Stock Market Performance: A Global View |
| title_short | Dynamic Cross-Correlation between Online Sentiment and Stock Market Performance: A Global View |
| title_sort | dynamic cross correlation between online sentiment and stock market performance a global view |
| url | http://dx.doi.org/10.1155/2021/6674379 |
| work_keys_str_mv | AT keweixu dynamiccrosscorrelationbetweenonlinesentimentandstockmarketperformanceaglobalview AT yuanyuanpang dynamiccrosscorrelationbetweenonlinesentimentandstockmarketperformanceaglobalview AT jiatonghan dynamiccrosscorrelationbetweenonlinesentimentandstockmarketperformanceaglobalview |