Social Media Sentiment in International Stock Returns and Trading Activity

Selin D. T., Taş O.

JOURNAL OF BEHAVIORAL FINANCE, cilt.22, sa.2, ss.221-234, 2021 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 22 Sayı: 2
  • Basım Tarihi: 2021
  • Doi Numarası: 10.1080/15427560.2020.1772261
  • Dergi Adı: JOURNAL OF BEHAVIORAL FINANCE
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, Psycinfo
  • Sayfa Sayıları: ss.221-234
  • Anahtar Kelimeler: Social media sentiment, Stock returns, Trading activity, Twitter activity, Twitter sentiment
  • İstanbul Teknik Üniversitesi Adresli: Evet

Özet

The authors investigate the impact of social media on S&P index constituents for U.S., European, and emerging markets with the international investor perspective using firm-specific Twitter sentiment and activity. The findings indicate that Twitter activity and sentiment are associated with trading volume and returns, and predicts subsequent-day trading volume. The authors find that firm-specific Twitter sentiment contains information for predicting stock returns and this predictive power remains significant after controlling news sentiment. The positive tone of Twitter sentiment is more pronounced in small and emerging market firms, which is consistent with the literature stating that small firms are hard to value and emerging market firms contain high information asymmetry. From a practical perspective, investors could potentially use social media sentiment in trading strategies.