Social media sentiment and market behavior

被引：17

作者：

Affuso, Ermanno ^{[1
]}

Lahtinen, Kyre Dane ^{[2
]}

机构：

[1] Univ S Alabama, Mitchell Coll Business 314, Mobile, AL 36688 USA

[2] Univ S Alabama, Mitchell Coll Business 331, Mobile, AL 36688 USA

来源：

EMPIRICAL ECONOMICS | 2019年 / 57卷 / 01期

关键词：

Behavioral finance; Endogenous switching; Big data; Twitter; Social media; INVESTOR SENTIMENT; INFORMATION; MODEL;

D O I：

10.1007/s00181-018-1430-y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines the impact of investor sentiment and geography on stock returns. We measure investor sentiment and location using direct measures derived from Twitter posts. We find Twitter sentiment is among important factors that can have an impact on stock returns. Negative tweets have a larger impact than positive tweets. The direct effect of sentiment on daily returns is an economically significant 0.036 and 0.078% for positive and negative sentiment, respectively. Our results support the Hirshleifer (J Finance 56(4):1533-1597, 2001) premise that both risk and misvaluation are important to asset pricing.

引用

页码：105 / 127

页数：23

共 50 条

[41] Media content, sentiment and emerging market futures returns
Pok, Wei Fong
Kabir, M. Humayun
Young, Martin
[J]. APPLIED ECONOMICS, 2023, 55 (07) : 724 - 749
[42] Social media metrics and sentiment analysis to evaluate the effectiveness of social media posts
Poecze, Flora
Ebster, Claus
Strauss, Christine
[J]. 9TH INTERNATIONAL CONFERENCE ON AMBIENT SYSTEMS, NETWORKS AND TECHNOLOGIES (ANT 2018) / THE 8TH INTERNATIONAL CONFERENCE ON SUSTAINABLE ENERGY INFORMATION TECHNOLOGY (SEIT-2018) / AFFILIATED WORKSHOPS, 2018, 130 : 660 - 666
[43] Sentiment Analysis as a Service: A social media based sentiment analysis framework
Ali, Kashif
Dong, Hai
Bouguettaya, Athman
Erradi, Abdelkarim
Hadjidj, Rachid
[J]. 2017 IEEE 24TH INTERNATIONAL CONFERENCE ON WEB SERVICES (ICWS 2017), 2017, : 660 - 667
[44] Deep Learning for Social Media Sentiment Analysis
Fithriasari, Kartika
Jannah, Saidah Zahrotul
Reyhana, Zakya
[J]. MATEMATIKA, 2020, 36 (02) : 99 - 111
[45] The Effect of Sentiment on Information Diffusion in Social Media
Salehan, Mohammad
Kim, Dan J.
[J]. AMCIS 2015 PROCEEDINGS, 2015,
[46] Sentiment Analysis of Malay Social Media Text
Chekima, Khalifa
Alfred, Rayner
[J]. COMPUTATIONAL SCIENCE AND TECHNOLOGY, ICCST 2017, 2018, 488 : 205 - 219
[47] Sentiment Analysis in Social Media and their Recent Trends
Swaminathan, A.
Raju, R.
[J]. BIOSCIENCE BIOTECHNOLOGY RESEARCH COMMUNICATIONS, 2020, 13 (06): : 354 - 362
[48] Stock Market Prediction With Transductive Long Short-Term Memory and Social Media Sentiment Analysis
Peivandizadeh, Ali
Hatami, Sima
Nakhjavani, Amirhossein
Khoshsima, Lida
Reza Chalak Qazani, Mohammad
Haleem, Muhammad
Alizadehsani, Roohallah
[J]. IEEE ACCESS, 2024, 12 : 87110 - 87130
[49] Mining Health Social Media with Sentiment Analysis
Yang, Fu-Chen
Lee, Anthony J. T.
Kuo, Sz-Chen
[J]. JOURNAL OF MEDICAL SYSTEMS, 2016, 40 (11)
[50] A Study on Sentiment Analysis of Social Media Reviews
Felciah, M. Lovelin Ponn
Anbuselvi, R.
[J]. 2015 INTERNATIONAL CONFERENCE ON INNOVATIONS IN INFORMATION, EMBEDDED AND COMMUNICATION SYSTEMS (ICIIECS), 2015,

← 1 2 3 4 5 →