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Does happy Twitter forecast gold price?

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  • Swamy, Vighneswara
  • Lagesh, M.A.

Abstract

This study explores the relationship between Twitter happiness and gold price in the US using wavelet analysis covering daily data from September 2008 to April 2019. We test our main hypothesis that investor attention from Twitter as a news and social medium has a nexus with the gold price. The results suggest that (i) Twitter happiness and gold price exhibit a strong correlation in both time and frequency domains; (ii) Twitter happiness leads the gold price suggesting the direction of causality from Twitter sentiment to gold price; (iii) in the post-crisis period, the gold price has experienced a stable rise and the Twitter sentiment is letting the gold price. Thus, we indicate that Twitter's mood can forecast the gold price. Our findings imply that investors can take a cue from Twitter sentiment in strategizing their gold investment decisions.

Suggested Citation

  • Swamy, Vighneswara & Lagesh, M.A., 2023. "Does happy Twitter forecast gold price?," Resources Policy, Elsevier, vol. 81(C).
    • Handle: RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000077
    DOI: 10.1016/j.resourpol.2023.103299
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    Cited by:

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    2. Cai, Yi & Tang, Zhenpeng & Chen, Ying, 2024. "Can real-time investor sentiment help predict the high-frequency stock returns? Evidence from a mixed-frequency-rolling decomposition forecasting method," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).

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    More about this item

    Keywords

    Twitter; Sentiment; Gold price; Wavelet analysis; Causality;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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