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The impact of Twitter sentiment on renewable energy stocks

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  • Reboredo, Juan C.
  • Ugolini, Andrea

Abstract

We study the impact of Twitter sentiment and sentiment divergence on returns, volatility and trading volumes for renewable energy stocks. Based on daily time series for Twitter sentiment and Twitter sentiment divergence, we estimate VAR models and evaluate spillovers between sentiment and renewable energy stock pricing and trading. We find that whereas Twitter sentiment has no sizeable impact on returns, volatility or trading volumes, Twitter sentiment divergence generates feedback effects on volatility and trading volumes. Our evidence would indicate that the wisdom of the Twitter crowd is not substantial in shaping prices and trading for renewable energy companies.

Suggested Citation

  • Reboredo, Juan C. & Ugolini, Andrea, 2018. "The impact of Twitter sentiment on renewable energy stocks," Energy Economics, Elsevier, vol. 76(C), pages 153-169.
    • Handle: RePEc:eee:eneeco:v:76:y:2018:i:c:p:153-169
    DOI: 10.1016/j.eneco.2018.10.014
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    More about this item

    Keywords

    Twitter; Social media; Sentiment; Renewable energy; Stock market;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • G1 - Financial Economics - - General Financial Markets
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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