Synergy between stock prices and investor sentiment in social media
The underlying assumption of using investor sentiment to predict stock prices, stock market returns, and liquidity is that of synergy between stock prices and investor sentiment. However, this synergistic relationship has received little attention in the literature. This paper investigates the syner...
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Format: | Article |
Language: | English |
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Elsevier
2023-01-01
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Series: | Borsa Istanbul Review |
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Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845022000710 |
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author | Qing Liu Woon-Seek Lee Minghao Huang Qingjun Wu |
author_facet | Qing Liu Woon-Seek Lee Minghao Huang Qingjun Wu |
author_sort | Qing Liu |
collection | DOAJ |
description | The underlying assumption of using investor sentiment to predict stock prices, stock market returns, and liquidity is that of synergy between stock prices and investor sentiment. However, this synergistic relationship has received little attention in the literature. This paper investigates the synergistic pattern between stock prices and investor sentiment using social media messages from stock market investors and natural language processing techniques. At the macro level, we reveal extremely significant positive synergy between investor sentiment and stock prices. That is, when a stock price rises, investor sentiment rises, and when a stock price falls, investor sentiment falls. However, this synergy may be reversed or even disappear over a specific time period. Through a segmented measurement of the synergy between stock prices and investor sentiment over the course of a day, we also find that investor sentiment on social media is forward looking. This provides theoretical support for using investor sentiment in stock price prediction. We also examine the effect of lockdowns, the most draconian response to COVID-19, on synergy between stock prices and investor sentiment through causal inference machine learning. Our analysis shows that external anxiety can significantly affect synergy between stock prices and investor sentiment, but this effect can promote either positive or negative synergy. This paper offers a new perspective on stock price forecasting, investor sentiment, behavioral finance, and the impact of COVID-19 on the stock markets. |
first_indexed | 2024-04-10T06:33:40Z |
format | Article |
id | doaj.art-127372c36ee84e6b913f699aaf6795af |
institution | Directory Open Access Journal |
issn | 2214-8450 |
language | English |
last_indexed | 2024-04-10T06:33:40Z |
publishDate | 2023-01-01 |
publisher | Elsevier |
record_format | Article |
series | Borsa Istanbul Review |
spelling | doaj.art-127372c36ee84e6b913f699aaf6795af2023-03-01T04:31:41ZengElsevierBorsa Istanbul Review2214-84502023-01-012317692Synergy between stock prices and investor sentiment in social mediaQing Liu0Woon-Seek Lee1Minghao Huang2Qingjun Wu3College of Economics and Management, Huainan Normal University, Huainan, China; Graduate School of Management of Technology, Pukyong National University, Busan, South KoreaGraduate School of Management of Technology, Pukyong National University, Busan, South KoreaGraduate School of Management of Technology, Pukyong National University, Busan, South KoreaShanghai Lixin University of Accounting and Finance, Shanghai, China; Corresponding author. No. 995, Shangchuan Road, Caolu Town, Pudong, Shanghai, China.The underlying assumption of using investor sentiment to predict stock prices, stock market returns, and liquidity is that of synergy between stock prices and investor sentiment. However, this synergistic relationship has received little attention in the literature. This paper investigates the synergistic pattern between stock prices and investor sentiment using social media messages from stock market investors and natural language processing techniques. At the macro level, we reveal extremely significant positive synergy between investor sentiment and stock prices. That is, when a stock price rises, investor sentiment rises, and when a stock price falls, investor sentiment falls. However, this synergy may be reversed or even disappear over a specific time period. Through a segmented measurement of the synergy between stock prices and investor sentiment over the course of a day, we also find that investor sentiment on social media is forward looking. This provides theoretical support for using investor sentiment in stock price prediction. We also examine the effect of lockdowns, the most draconian response to COVID-19, on synergy between stock prices and investor sentiment through causal inference machine learning. Our analysis shows that external anxiety can significantly affect synergy between stock prices and investor sentiment, but this effect can promote either positive or negative synergy. This paper offers a new perspective on stock price forecasting, investor sentiment, behavioral finance, and the impact of COVID-19 on the stock markets.http://www.sciencedirect.com/science/article/pii/S2214845022000710G40G41 |
spellingShingle | Qing Liu Woon-Seek Lee Minghao Huang Qingjun Wu Synergy between stock prices and investor sentiment in social media Borsa Istanbul Review G40 G41 |
title | Synergy between stock prices and investor sentiment in social media |
title_full | Synergy between stock prices and investor sentiment in social media |
title_fullStr | Synergy between stock prices and investor sentiment in social media |
title_full_unstemmed | Synergy between stock prices and investor sentiment in social media |
title_short | Synergy between stock prices and investor sentiment in social media |
title_sort | synergy between stock prices and investor sentiment in social media |
topic | G40 G41 |
url | http://www.sciencedirect.com/science/article/pii/S2214845022000710 |
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