Social media investors' sentiment as stock market performance predictor

Sana Ben Cheikh, Hanen Amiri and Nadia Loukil

International Journal of Social Economics, 2023, vol. 51, issue 6, 713-724

Abstract: Purpose - This study examines the impact of social media investor sentiment on the stock market performance through qualitative and quantitative proxies. Design/methodology/approach - The authors use a sample of daily stock performance related to S&P 500 Index for the period from December 18, 2017, to December 18, 2018. The social media investor sentiment was assessed through qualitative and quantitative proxies. For qualitative proxies, the study relies on three social media resources”: Twitter, Trump Twitter account and StockTwits. The authors proposed 3 methods to reflect investor sentiment. For quantitative proxies, the number of daily messages published from Trump Twitter account and StockTwits is considered as a signal of investor sentiment. For regression model, the study adopts the autoregressive distributed lagged to determine the relationships between the nonstationary series. Findings: - Empirical findings provide evidence that quantitative measures of investor sentiment have significant effects on S&P’500 performances. The authors find that Trump's tweets should be interpreted with caution. The results also show that the number of Trump's tweets on t−1 day have a positive effect on performance on day t. Practical implications - Social media sentiment contains information for predicting stock returns and transaction activity. Since, the arrival of new information in capital markets triggers investor sentiment on social media. Originality/value - This study investigates the investors’ sentiment through social media and explores quantitative and qualitative measures. The amount of information on social media reflects more the investor sentiment than content analysis measures. Peer review - The peer review history for this article is available at:https://publons.com/publon/10.1108/IJSE-12-2022-0818

Keywords: Financial market; Investors reaction; Behavioral finance; F65; G15; G41 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:ijsepp:ijse-12-2022-0818

DOI: 10.1108/IJSE-12-2022-0818

Access Statistics for this article

International Journal of Social Economics is currently edited by Professor Terence Garrett

More articles in International Journal of Social Economics from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().