Equity returns and sentiment

被引：1

作者：

Huang, Zibin ^{[1
]}

Ibragimov, Rustam ^{[1
,2
]}

机构：

[1] Imperial Coll, Business Sch, London, England

[2] St Petersburg State Univ, Ctr Econometr & Business Analyt CEBA, St Petersburg, Russia

来源：

DEPENDENCE MODELING | 2022年 / 10卷 / 01期

关键词：

sentiment; asset prices; asset returns; dependence; Granger causality; predictive regressions; autoregressive distributed lag models; GARCH models; volatility; INVESTOR SENTIMENT; TWITTER; MEDIA;

D O I：

10.1515/demo-2022-0109

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper analyzes approximately 100 Gigabytes of raw text data from Twitter with keywords "AAPL," "S&P 500," "FTSE100" and "NASDAQ" to explore the relationship between sentiment and the returns and prices on the Apple stock and the S&P 500, FTSE 100 and NASDAQ indices. The findings point to significant relationship and dependence between sentiment measures and the S&P 500 and FTSE 100 indices' returns and prices. The econometric analysis of dependence between the aforementioned variables in the paper is presented in some detail for illustration of the methodology employed.

引用

页码：159 / 176

页数：18

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