Daily happiness and stock returns: The case of Chinese company listed in the United States |
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Affiliation: | 1. College of Management and Economics, Tianjin University, No.92 Weijin Road, Tianjin, 300072, PR China;2. Key Laboratory of Computation and Analytics of Complex Management Systems, No.92 Weijin Road, Tianjin, 300072, PR China;3. School of Finance, Nankai University, No. 38 Tongyan Road, Tianjin, 300350, China;4. China Center for Social Computing and Analytics, Tianjin University, No.92 Weijin Road, Tianjin, 300072, PR China |
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Abstract: | Existing literature exclusively focuses on the association between local investor sentiment and local stock market performance. In this paper, we investigate the contemporaneous and the lead-lag relationship between local daily happiness sentiment extracted from Twitter and stock returns of cross-listed companies, i.e., the Chinese companies listed in the United States. The empirical results show that: 1) by respectively controlling for the firm capitalization, liquidity and volatility, there exists the largest skewness on the Most-happiness subgroup. (2) There exist bi-directional relationships between daily happiness sentiment and market variables, i.e., the stock return, range-based volatility and excess trading volume. (3) There are significantly positive stock returns, higher excess trading volume and higher range-based volatility around the daily happiness sentiment spike days. These findings not only suggest that there exists significant interdependence between online activities and stock market dynamics, but also provide evidence for the existence of “home bias”. |
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Keywords: | Twitter Daily happiness sentiment Home bias Cross-listed companies Statistical analyses Granger causality |
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