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The effect of social media on stock market: Evidence from Twitter

conference contribution
posted on 23.09.2020, 00:00 by Yaacoub Mhanna, Lan Sun
In this study, we investigate the sentiment of social media to predict stock market performance. In particular, we test the relationship between the twitter activity, number of tweets and followers, and the stock return, volume, and volatility of top 82 companies listed on ASX. We obtain a data set of number of tweets and followers from each company’s twitter account at end of the fiscal year 2019. Our results indicate that stock return is positively associated with the number of organizations' twitter followers, suggesting firms with high returns are likely to have significant number of followers. Moreover, stock trading volume is positively (negatively) associated with the number of organizations' tweets (twitter followers). These findings suggest that firms with high liquidity tend to have significant flow of tweets information rather than many followers with few tweets. However, we find no evidence suggesting that twitter followers and tweets are associated with stock volatility. This study will assist regulators in understanding to what extent the information on major social media platforms can help investors in their investment decision-making.

Funding

Other

History

Editor

Holmes L

Volume

4

Start Page

3

End Page

3

Number of Pages

1

Start Date

28/02/2020

Finish Date

29/02/2020

ISBN-13

9780995398085

Location

Melbourne, Australia

Publisher

Asia Pacific Institute of Advanced Research (APIAR)

Place of Publication

Online

Peer Reviewed

Yes

Open Access

No

Era Eligible

No

Name of Conference

4th Australia and New Zealand Conference on Advanced Research (ANZCAR-2020)

Usage metrics

CQUniversity

Categories

Exports