Social media disagreement and financial markets: A comparison of stocks and Bitcoin

Akarsu Sergen and Yilmaz Neslihan ()
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Akarsu Sergen: Boğaziçi University, Department of Management, Bebek, Istanbul, 34342, Türkiye
Yilmaz Neslihan: Boğaziçi University, Department of Management, Bebek, Istanbul, 34342, Türkiye

Economics and Business Review, 2024, vol. 10, issue 4, 189-213

Abstract: We examine whether disagreement in social media discussions related to financial markets affects subsequent volatility and abnormal trading volume. We also compare how traditional and digital asset markets differ by comparing stocks and Bitcoin. We show that social media disagreement is positively associated with future market volatility and abnormal trading volume in the stock market. The effect of disagreement is more pronounced at the individual stock level than at the index level. A higher level of social media disagreement also increases the probability of extremely negative stock market returns. In contrast, disagreement in Bitcoin-related social media weakly affects subsequent volatility but does not affect trading volume or extremely negative returns. Our findings also reveal that market activity impacts the disagreement in the stock market and Bitcoin communities differently.

Keywords: disagreement; trading volume; volatility; Bitcoin; Reddit (search for similar items in EconPapers)
JEL-codes: D83 G10 G41 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:ecobur:v:10:y:2024:i:4:p:189-213:n:1007

DOI: 10.18559/ebr.2024.4.1683

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