Do Twitter Sentiments Really Effective on Energy Stocks? Evidence from Intercompany Dependency

Emrah Sıtkı Yılmaz, Aslı Ozpolat and Mehmet Destek

MPRA Paper from University Library of Munich, Germany

Abstract: The study aims to examine the effects of social media activities on stock prices of the energy sector. In this respect, the sample covers the monthly period from 2015m6 to 2020m5 has been observed. Energy stocks as S&P 500 index (SP), stock market volatility index (VIX), trade-weighted USD index (USD) and Brent oil prices (OIL) have been used as independent variables. Accordingly, three different models have been created to analyze the link between returns, volatility and trading volume and Twitter sentiments by using Augment mean Group. As a result, we found that Twitter sentiment values have no significant impact on the returns and volatility of the companies. Tweets, on the other hand, appear to have a favorable impact on company trading volume values.

Keywords: Social media; Twitter; Energy Sector; Stock Prices (search for similar items in EconPapers)
JEL-codes: G0 Q4 (search for similar items in EconPapers)
Date: 2022-03-01
New Economics Papers: this item is included in nep-ene and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:114155

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