Using　a　novel　investor　sentiment　proxy　extracted　from　Twitter,　this　paper　investigates　whether　investor　sentiment　as　expressed　in　daily　happiness　has　predictive　power　for　stock　returns　in　10　international　stock　markets.　To　account　for　complex　relationships　between　sentiment　and　stock　returns,　a　Granger　non-causality　test　in　quantiles　is　used.　Our　empirical　results　indicate　that　the　causal　relations　vary　across　different　quantiles.　We　observe　that　the　causal　relationship　from　happiness　sentiment　to　stock　returns　exist　only　in　high　quantiles　interval.　The　causal　relationship　from　stock　returns　to　happiness　sentiment　exists　only　in　the　tail　area.　©　2017