Impact of Investor Sentiment on Stock Returns
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Date
2023-07-24
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Publisher
UMT.Lahore
Abstract
This paper examines the interconnection among online investor's emotion and market returns
within the SAARC region using the Twitter Happiness Index (THI) as a measure of emotion.
Four empirical techniques are applied: Ordinary Least Squares (OLS) regression, Granger
causality analysis, Quantile-on-Quantile (Q-Q) regression, and Cross Quantilogram analysis.
The analysis utilizes a comprehensive dataset of Twitter data related to stock market
discussions in the SAARC region. OLS regression explores the overall connection among
emotion and returns of market while considering other factors. Granger causality analysis
interrogates the causal connection among emotion and subsequent returns. Q-Q regression
examines the emotion-return connection across different market conditions and levels of
returns. Cross Quantilogram analysis explores the relationship’s direction and magnitude,
capturing nonlinearity and asymmetry. The results provide valuable insights into the effect of
online investor's emotion on market gains in the SAARC region, benefiting investors,
policymakers, and market participants in the area.