Impact of Social Media on the Stock Market: Evidence from Tweets
The paper deals with the impact of the economic agent sentiment on the return for Apple and Microsoft stocks. We employed text mining procedures to analyze Twitter messages with either negative or positive sentiment towards the chosen stock titles. Those sentiments were identified by developed algor...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Mendel University, Brno
2015-11-01
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| Series: | European Journal of Business Science and Technology |
| Subjects: | |
| Online Access: | https://ejobsat.cz/artkey/ejo-201501-0003_impact-of-social-media-on-the-stock-market-evidence-from-tweets.php |
| Summary: | The paper deals with the impact of the economic agent sentiment on the return for Apple and Microsoft stocks. We employed text mining procedures to analyze Twitter messages with either negative or positive sentiment towards the chosen stock titles. Those sentiments were identified by developed algorithms which are capable of identifying sentiment towards companies and also counting the numbers of tweets in the same group. This resulted in counts of tweets with positive and negative sentiment. Then we ran analysis in order to find causality between sentiment levels and the stock price of companies. To identify causal effects we applied Granger causality tests. We found bilateral causality between the risk premium and the amount of news distributed by Twitter messages. |
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| ISSN: | 2336-6494 2694-7161 |