Impact of Social Media on the Stock Market: Evidence from Tweets

Vojtěch Fiala, Svatopluk Kapounek and Ondřej Veselý
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Vojtěch Fiala: Mendel University in Brno, Czech Republic
Ondřej Veselý: Mendel University in Brno, Czech Republic

European Journal of Business Science and Technology, 2015, vol. 1, issue 1, 24-35

Abstract: The paper deals with the impact of the economic agent sentiment on the return for Apple and Microsoft stocks. We employed text mining procedures to analyze Twitter messages with either negative or positive sentiment towards the chosen stock titles. Those sentiments were identified by developed algorithms which are capable of identifying sentiment towards companies and also counting the numbers of tweets in the same group. This resulted in counts of tweets with positive and negative sentiment. Then we ran analysis in order to find causality between sentiment levels and the stock price of companies. To identify causal effects we applied Granger causality tests. We found bilateral causality between the risk premium and the amount of news distributed by Twitter messages.

Keywords: stock returns; Granger causality; text mining; sentiment analysis; CAPM (search for similar items in EconPapers)
JEL-codes: C1 C12 G12 G17 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:men:journl:v:1:y:2015:i:1:p:24-35

DOI: 10.11118/ejobsat.v1i1.35

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