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The Twitter myth revisited: Intraday investor sentiment, Twitter activity and individual-level stock return volatility

Simon Behrendt and Alexander Schmidt

Journal of Banking & Finance, 2018, vol. 96, issue C, 355-367

Abstract: Taking an intraday perspective, we study the dynamics of individual-level stock return volatility, measured by absolute 5-minute returns, and Twitter sentiment and activity. After accounting for the intraday periodicity in absolute returns, we discover some statistically significant co-movements of intraday volatility and information from stock-related Tweets for all constituents of the Dow Jones Industrial Average. However, economically, the effects are of negligible magnitude and out-of-sample forecast performance is not improved when including Twitter sentiment and activity as exogenous variables. From a practical point of view, we find that high-frequency Twitter information is not particularly useful for highly active investors with access to such data for intraday volatility assessment and forecasting when considering individual-level stocks.

Keywords: Return volatility; Investor sentiment; Twitter; Intraday; Forecasting (search for similar items in EconPapers)
Date: 2018
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