The causal relationship between social media sentiment and stock return: Experimental evidence from an online message forum

Xinjie Wang, Zhiqiang Xiang, Weike Xu and Peixuan Yuan

Economics Letters, 2022, vol. 216, issue C

Abstract: This paper examines the impact of sentiment in an online message forum on stock returns. Using a novel controlled experiment, we collect a large panel of messages with no fundamental information but strong sentiment and stock return data. We find a significant causal effect of social media sentiment on the same-day stock returns. The sentiment has no significant effects on stock returns on subsequent days. This effect is mainly driven by messages with positive sentiment, which has a strong positive impact on stock returns. Our results establish a causal relationship between social media sentiment and stock returns and highlight the risk of market manipulation via social media.

Keywords: Sentiment; Online message board; Stock return (search for similar items in EconPapers)
JEL-codes: G10 G12 G41 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001793

DOI: 10.1016/j.econlet.2022.110598

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