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Social media sentiment and the stock market

Author

Listed:
  • Amir Fekrazad

    (Texas A&M University-San Antonio)

  • Syed M. Harun

    (Texas A&M University-San Antonio)

  • Naafey Sardar

    (Texas A&M University-San Antonio
    Research Economist, State Bank of Pakistan)

Abstract

This paper investigates the link between social media sentiment and the stock market using more than two million tweets posted in 2017 that include the name or symbol of twenty-five companies listed in the S&P 100. We find a two-way relationship when using hourly and daily intervals: We observe that a higher proportion of negative tweets about a company posted within an hour/day leads to lower returns and a higher short volume for its stock (even after controlling for traditional-media news sentiment). A higher return for a stock in an hour/day leads to less negative sentiment within the next period. However, we are unable to detect a link between the two variables when looking at 15-minute intervals. These results are robust to various specifications and alternative measures of sentiment. Our findings suggest that social media sentiment includes signals beyond those found in traditional media that can impact the stock market. The observed results suggest that these signals are only considered reliable when the sentiment persists over a long enough period.

Suggested Citation

  • Amir Fekrazad & Syed M. Harun & Naafey Sardar, 2022. "Social media sentiment and the stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(2), pages 397-419, April.
    • Handle: RePEc:spr:jecfin:v:46:y:2022:i:2:d:10.1007_s12197-022-09575-x
    DOI: 10.1007/s12197-022-09575-x
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    References listed on IDEAS

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    Cited by:

    1. Sushant Chari & Purva Hegde Desai & Nilesh Borde & Babu George, 2023. "Aggregate News Sentiment and Stock Market Returns in India," JRFM, MDPI, vol. 16(8), pages 1-18, August.

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