Twitter sentiment and stock return volatility of US travel and leisure firms

Syed Jawad Hussain Shahzad, Elie Bouri () and Román Ferrer ()
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Elie Bouri: School of Business, Lebanese American University, Lebanon
Román Ferrer: Department of Financial and Actuarial Economics, University of Valencia, Spain

Economics Bulletin, 2023, vol. 43, issue 2, 1133 - 1142

Abstract: This paper examines the impact of firm-specific sentiment extracted from Twitter messages on the stock return volatility of US Travel & Leisure stocks. To this end, linear and nonlinear impulse response functions are estimated based on local projection techniques. We find that the return volatility of US Travel & Leisure firms increases in response to twitter messages in the short-term, particularly during periods of high uncertainty. Positive tweets have a stronger effect on stock return volatility than negative tweets, reflecting that positive Twitter sentiment has a clear incentive effect on retail investors in the US Travel & Leisure industry.

Keywords: Tourism; Twitter; stock volatility; impulse response function; nonlinearity (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2023-06-30
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