Social Media Sentiment in International Stock Returns and Trading Activity

Selin Duz Tan*, Oktay Tas

*Bu çalışma için yazışmadan sorumlu yazar

Araştırma sonucu: ???type-name???Makalebilirkişi

56 Atıf (Scopus)

Özet

The authors investigate the impact of social media on S&P index constituents for U.S., European, and emerging markets with the international investor perspective using firm-specific Twitter sentiment and activity. The findings indicate that Twitter activity and sentiment are associated with trading volume and returns, and predicts subsequent-day trading volume. The authors find that firm-specific Twitter sentiment contains information for predicting stock returns and this predictive power remains significant after controlling news sentiment. The positive tone of Twitter sentiment is more pronounced in small and emerging market firms, which is consistent with the literature stating that small firms are hard to value and emerging market firms contain high information asymmetry. From a practical perspective, investors could potentially use social media sentiment in trading strategies.

Orijinal dilİngilizce
Sayfa (başlangıç-bitiş)221-234
Sayfa sayısı14
DergiJournal of Behavioral Finance
Hacim22
Basın numarası2
DOI'lar
Yayın durumuYayınlandı - 2021

Bibliyografik not

Publisher Copyright:
© 2020 The Institute of Behavioral Finance.

Parmak izi

Social Media Sentiment in International Stock Returns and Trading Activity' araştırma başlıklarına git. Birlikte benzersiz bir parmak izi oluştururlar.

Alıntı Yap