Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US

In this paper, we utilize the natural log value of Twitter happiness index as the measurement for investor daily happiness sentiment (DHS) and investigate its cross-sectional correlations with twelve US indices. With correlation coefficients and Granger causality tests, we find contemporaneous and long-term interactions between DHS and indices returns. In addition, we discover noticeable return differences across quantile subgroups and the differences are further qualified with significant statistics. We also carry out another robustness check with altered quantile setting. In general, the robustness results show no divergence with prior empirical findings. •We employ the Twitter happiness index on behalf of online sentiment.•The correlations between DHS and US indices returns have been investigated.•Noticeable return differences across quantiles are discovered.•Return differences are statistically significant.•The robustness check results are in line with prior empirical findings.