Global stock exchange indexes and the Twitter happiness index as an econometric application of happiness on financial markets

This study aims to empirically analyze the impact of social media sentiment on financial markets by examining the relationship between the Twitter happiness index and financial markets. The study also investigates how the general level of happiness expressed on Twitter affects stock, cryptocurrency, foreign exchange, commodity and bond markets. The data analysis was conducted using the weekly data from January 06, 2020 to May 25, 2023. Twitter happiness index data was obtained from Hedonometer.org and financial asset data was obtained from Investing.com. In the study, the long-term cointegration relationship between the variables was examined using time series analysis. According to the Harvey linearity test results, a linear structure was observed in most of the variables included in the analysis, while non-linear series were removed from the analysis. The stationarity of the series was tested with ADF and RALS-ADF unit root tests, and it was concluded that the series were stationary in their first differences. The RALS-EG cointegration test revealed the existence of a long-term relationship between the Twitter happiness index and the financial markets examined. These findings suggest that the social media sentiment has a significant influence on financial markets. Therefore, investors, portfolio managers and policymakers can make more informed decisions by taking the social media sentiment into account. Future studies covering different social media platforms and geographical regions may provide a more comprehensive understanding of the relationship between social media sentiment and financial markets.