Market sentiment, stock market returns and the Global Consciousness Projects data

What is it about?

The research discovered a connection between the Standard & Poor's 500 Volatility Index (VIX), a common proxy of market sentiment, and data from the Global Consciousness Project (GCP). Specifically, the largest daily GCP data value (Max[Z]) is significantly correlated with changes in VIX. This suggests that GCP data can offer insights into market sentiment, improving our understanding of daily market movements. The study explored practical applications for traders by using econometric models on S&P 500 returns. Significant interactions were found with VIX and daily returns in Europe and Asia, explaining approximately one percent of the model's variance. Out of sample simulations indicated that GCP data improves daily forecasts, presenting a valuable resource for traders.

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Photo by NASA on Unsplash

Photo by NASA on Unsplash