Twitter’s Happiness Index and G7 Stock Markets: A Quantile Connectedness Approach

This paper provides empirical evidence on spillover effects from G7 stock market indices returns and Twitter’s happiness sentiment index using connectedness measures based on quantile vector autoregressions for data spanning from 2009 to 2023. The analysis based on quantile connectedness highlights important differences in spillovers across quantiles. In general, total dynamic connectedness is greater at low and high quantiles throughout the whole period, with the noticeable exception of the COVID-19 pandemic, where connectedness is strong at all quantiles. Further, we find that Twitter’s happiness is a substantial net receiver of spillovers from stock returns at low and high quantiles, whereas the effect is mild at the median and at the conditional mean. Finally, we also offer evidence that stock returns and Twitter’s happiness are more connected following adverse shocks.