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 |
| Published: |
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 |
| _version_ | 1818232544429080576 |
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| author | Vojtěch Fiala Svatopluk Kapounek Ondřej Veselý |
| author_facet | Vojtěch Fiala Svatopluk Kapounek Ondřej Veselý |
| author_sort | Vojtěch Fiala |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-12T11:07:58Z |
| format | Article |
| id | doaj.art-23a5fc69678343f48a1c900422b8b121 |
| institution | Directory Open Access Journal |
| issn | 2336-6494 2694-7161 |
| language | English |
| last_indexed | 2024-12-12T11:07:58Z |
| publishDate | 2015-11-01 |
| publisher | Mendel University, Brno |
| record_format | Article |
| series | European Journal of Business Science and Technology |
| spelling | doaj.art-23a5fc69678343f48a1c900422b8b1212022-12-22T00:26:22ZengMendel University, BrnoEuropean Journal of Business Science and Technology2336-64942694-71612015-11-0111243510.11118/ejobsat.v1i1.35ejo-201501-0003Impact of Social Media on the Stock Market: Evidence from TweetsVojtěch Fiala0Svatopluk KapounekOndřej VeselýMendel University in Brno, Czech RepublicThe 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.https://ejobsat.cz/artkey/ejo-201501-0003_impact-of-social-media-on-the-stock-market-evidence-from-tweets.phpstock returnsgranger causalitytext miningsentiment analysiscapm |
| spellingShingle | Vojtěch Fiala Svatopluk Kapounek Ondřej Veselý Impact of Social Media on the Stock Market: Evidence from Tweets European Journal of Business Science and Technology stock returns granger causality text mining sentiment analysis capm |
| title | Impact of Social Media on the Stock Market: Evidence from Tweets |
| title_full | Impact of Social Media on the Stock Market: Evidence from Tweets |
| title_fullStr | Impact of Social Media on the Stock Market: Evidence from Tweets |
| title_full_unstemmed | Impact of Social Media on the Stock Market: Evidence from Tweets |
| title_short | Impact of Social Media on the Stock Market: Evidence from Tweets |
| title_sort | impact of social media on the stock market evidence from tweets |
| topic | stock returns granger causality text mining sentiment analysis capm |
| url | https://ejobsat.cz/artkey/ejo-201501-0003_impact-of-social-media-on-the-stock-market-evidence-from-tweets.php |
| work_keys_str_mv | AT vojtechfiala impactofsocialmediaonthestockmarketevidencefromtweets AT svatoplukkapounek impactofsocialmediaonthestockmarketevidencefromtweets AT ondrejvesely impactofsocialmediaonthestockmarketevidencefromtweets |