Manara - Qatar Research Repository
Browse
1-s2.0-S1062940822001826-main.pdf (3.38 MB)

The impact of Twitter-based sentiment on US sectoral returns

Download (3.38 MB)
journal contribution
submitted on 2023-11-06, 10:08 and posted on 2023-11-06, 10:55 authored by Rami Zeitun, Mobeen Ur Rehman, Nasir Ahmad, Xuan Vinh Vo

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 causality directed from Twitter-based sentiment towards US sectoral returns, whereas the latter measures the correlation of returns across decomposed series that correspond to different time horizons. Our results highlight symmetric changes in US sectoral returns that vary across different sectors. The healthcare, communications, materials, consumer discretionary, energy, staples, and information technology sectors are more sensitive to changes in Twitter-based sentiment across all quantiles. Our findings from the rolling window wavelet correlation point to low correlation values for all decomposed series (i.e., long-, medium-, and short-run). Our findings have value for investors in the US sectoral market because they may be helpful for constructing and rebalancing portfolios based on varying levels of correlation across different quantile distributions and investment periods.

Other Information

Published in: The North American Journal of Economics and Finance
License: http://creativecommons.org/licenses/by/4.0/
See article on publisher's website: https://dx.doi.org/10.1016/j.najef.2022.101847

Funding

Open Access funding provided by the Qatar National Library

History

Language

  • English

Publisher

Elsevier

Publication Year

  • 2023

License statement

This Item is licensed under the Creative Commons Attribution 4.0 International License

Institution affiliated with

  • Qatar University
  • College of Business and Economics - QU