IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2308.09968.html
   My bibliography  Save this paper

To the Moon: Analyzing Collective Trading Events on the Wings of Sentiment Analysis

Author

Listed:
  • Tim Matthies
  • Thomas Lohden
  • Stephan Leible
  • Jun-Patrick Raabe

Abstract

This research investigates the growing trend of retail investors participating in certain stocks by organizing themselves on social media platforms, particularly Reddit. Previous studies have highlighted a notable association between Reddit activity and the volatility of affected stocks. This study seeks to expand the analysis to Twitter, which is among the most impactful social media platforms. To achieve this, we collected relevant tweets and analyzed their sentiment to explore the correlation between Twitter activity, sentiment, and stock volatility. The results reveal a significant relationship between Twitter activity and stock volatility but a weak link between tweet sentiment and stock performance. In general, Twitter activity and sentiment appear to play a less critical role in these events than Reddit activity. These findings offer new theoretical insights into the impact of social media platforms on stock market dynamics, and they may practically assist investors and regulators in comprehending these phenomena better.

Suggested Citation

  • Tim Matthies & Thomas Lohden & Stephan Leible & Jun-Patrick Raabe, 2023. "To the Moon: Analyzing Collective Trading Events on the Wings of Sentiment Analysis," Papers 2308.09968, arXiv.org.
    • Handle: RePEc:arx:papers:2308.09968
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2308.09968
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. John Y. Campbell, 2016. "Restoring Rational Choice: The Challenge of Consumer Financial Regulation," American Economic Review, American Economic Association, vol. 106(5), pages 1-30, May.
    2. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
    3. Audrino, Francesco & Sigrist, Fabio & Ballinari, Daniele, 2020. "The impact of sentiment and attention measures on stock market volatility," International Journal of Forecasting, Elsevier, vol. 36(2), pages 334-357.
    4. Zheludev, Ilya & Smith, Robert & Aste, Tomaso, 2014. "When can social media lead financial markets?," LSE Research Online Documents on Economics 57376, London School of Economics and Political Science, LSE Library.
    5. Th'arsis Tuani Pinto Souza & Olga Kolchyna & Philip C. Treleaven & Tomaso Aste, 2015. "Twitter Sentiment Analysis Applied to Finance: A Case Study in the Retail Industry," Papers 1507.00784, arXiv.org, revised Jul 2015.
    6. Suwan (Cheng) Long & Brian Lucey & Ying Xie & Larisa Yarovaya, 2023. "“I just like the stock”: The role of Reddit sentiment in the GameStop share rally," The Financial Review, Eastern Finance Association, vol. 58(1), pages 19-37, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Rui Liu & Jiayou Liang & Haolong Chen & Yujia Hu, 2024. "Analyst Reports and Stock Performance: Evidence from the Chinese Market," Papers 2411.08726, arXiv.org.
    2. Gabriele Ranco & Darko Aleksovski & Guido Caldarelli & Miha Grčar & Igor Mozetič, 2015. "The Effects of Twitter Sentiment on Stock Price Returns," PLOS ONE, Public Library of Science, vol. 10(9), pages 1-21, September.
    3. Martina Halouskov'a & Daniel Stav{s}ek & Mat'uv{s} Horv'ath, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Papers 2205.05985, arXiv.org, revised Aug 2022.
    4. Roberta Scaramozzino & Paola Cerchiello & Tomaso Aste, 2021. "Information theoretic causality detection between financial and sentiment data," DEM Working Papers Series 202, University of Pavia, Department of Economics and Management.
    5. Peter Gabrovšek & Darko Aleksovski & Igor Mozetič & Miha Grčar, 2017. "Twitter sentiment around the Earnings Announcement events," PLOS ONE, Public Library of Science, vol. 12(2), pages 1-21, February.
    6. Halousková, Martina & Stašek, Daniel & Horváth, Matúš, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Finance Research Letters, Elsevier, vol. 50(C).
    7. Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš, 2022. "YOLO trading: Riding with the herd during the GameStop episode," Finance Research Letters, Elsevier, vol. 46(PA).
    8. Cheraghali, Hamid & Høydal, Hannah & Lysebo, Caroline & Molnár, Peter, 2023. "Consumer attention and company performance: Evidence from luxury companies," Finance Research Letters, Elsevier, vol. 58(PA).
    9. Scaramozzino, Roberta & Cerchiello, Paola & Aste, Tomaso, 2021. "Information theoretic causality detection between financial and sentiment data," LSE Research Online Documents on Economics 110903, London School of Economics and Political Science, LSE Library.
    10. Herrera, Gabriel Paes & Constantino, Michel & Su, Jen-Je & Naranpanawa, Athula, 2022. "Renewable energy stocks forecast using Twitter investor sentiment and deep learning," Energy Economics, Elsevier, vol. 114(C).
    11. Seiler, Volker, 2024. "The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 160-179.
    12. Tharp, Derek, 2020. "Potential Consumer Harm Due to Regulation on Financial Advisory Communication in the FinTech Age," SocArXiv cyqbr, Center for Open Science.
    13. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    14. Guillermo Llorente & Jiang Wang, 2020. "Trading and information in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1231-1263, August.
    15. Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael, 2012. "Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range," International Journal of Forecasting, Elsevier, vol. 28(3), pages 557-574.
    16. Ruoxuan Xiong & Eric P. Nichols & Yuan Shen, 2015. "Deep Learning Stock Volatility with Google Domestic Trends," Papers 1512.04916, arXiv.org, revised Feb 2016.
    17. Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights," PLOS ONE, Public Library of Science, vol. 10(10), pages 1-11, October.
    18. Gustavo Peralta, 2016. "The Nature of Volatility Spillovers across the International Capital Markets," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    19. Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent, 2015. "Aggregate volatility expectations and threshold CAPM," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 231-253.
    20. Costola, Michele & Lorusso, Marco, 2022. "Spillovers among energy commodities and the Russian stock market," Journal of Commodity Markets, Elsevier, vol. 28(C).

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2308.09968. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.