Can happiness predict future volatility in stock markets?

Muhammad Abubakr Naeem, Saqib Farid, Balli Faruk, Syed Jawad Hussain Shahzad

Research output: Contribution to journalArticlepeer-review

25 Citations (Scopus)


In this paper, we use the Twitter based happiness index as a proxy for investor sentiment in order to examine whether happiness influences future market volatility of country VIX indexes. Our sample includes the major stock markets of the USA, Canada, UK, Germany, France, Netherlands, Switzerland, Japan, China, Hong Kong, India, Brazil, South Korea, and South Africa. Using linear and nonlinear causality tests, we find that Twitter happiness significantly causes the future volatility of the sample countries. The robustness checks show no divergence from our primary findings and provide strong evidence of a nonlinear relationship between investor sentiment and future stock market volatility.

Original languageEnglish
Article number101298
JournalResearch in International Business and Finance
Publication statusPublished - Dec 2020
Externally publishedYes


  • G12
  • G14

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Finance


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