Browsing Finance & Economics by Subject "Causality"
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The impact of Twitter-based sentiment on US sectoral returns
( Elsevier , 2022 , Article)This paper scrutinizes the effect of Twitter-based sentiment on US sectoral returns using data from between 21 June 2010 and 13 April 2020. We apply causality in quantiles as a non-parametric measure, followed by a rolling ...