Equity returns and sentiment
Abstract: 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.
- Standort
-
Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
-
Online-Ressource
- Sprache
-
Englisch
- Erschienen in
-
Equity returns and sentiment ; volume:10 ; number:1 ; year:2022 ; pages:159-176 ; extent:18
Dependence modeling ; 10, Heft 1 (2022), 159-176 (gesamt 18)
- Urheber
-
Huang, Zibin
Ibragimov, Rustam
- DOI
-
10.1515/demo-2022-0109
- URN
-
urn:nbn:de:101:1-2022072714105926574751
- Rechteinformation
-
Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
-
15.08.2025, 07:20 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Beteiligte
- Huang, Zibin
- Ibragimov, Rustam
Ähnliche Objekte (12)
Reuters sentiment and stock returns
Uncovered return parity: Equity returns and currency returns
Investor sentiment, portfolio returns, and macroeconomic variables
StockTwits classified sentiment and stock returns
Investor sentiment and stock returns: some international evidence
Textual Sentiment, Option Characteristics, and Stock Return Predictability
Idiosyncratic coskewness and equity return anomalies
Forecasting returns with fundamentals-removed investor sentiment
Probabilities of Future Equity Returns
Financial sector volatility connectedness and equity returns
Listed private equity : investment strategies and returns
The Zodiac Calendar and Equity Factor Returns
Reuters sentiment and stock returns
Uncovered return parity: Equity returns and currency returns
Investor sentiment, portfolio returns, and macroeconomic variables
StockTwits classified sentiment and stock returns
Investor sentiment and stock returns: some international evidence
Textual Sentiment, Option Characteristics, and Stock Return Predictability
Idiosyncratic coskewness and equity return anomalies
Forecasting returns with fundamentals-removed investor sentiment
Probabilities of Future Equity Returns
Financial sector volatility connectedness and equity returns
Listed private equity : investment strategies and returns
The Zodiac Calendar and Equity Factor Returns
Reuters sentiment and stock returns
Uncovered return parity: Equity returns and currency returns
Investor sentiment, portfolio returns, and macroeconomic variables
StockTwits classified sentiment and stock returns
Investor sentiment and stock returns: some international evidence
Textual Sentiment, Option Characteristics, and Stock Return Predictability
Idiosyncratic coskewness and equity return anomalies
Forecasting returns with fundamentals-removed investor sentiment
Probabilities of Future Equity Returns
Financial sector volatility connectedness and equity returns
Listed private equity : investment strategies and returns