Abstract / Description of output
We utilise tweets during trading hours and non-trading hours from StockTwits, an investment-based social media, to produce positive and negative sentiment measures. Then, we determine whether StockTwits sentiment could predict US index futures returns. We find positive sentiment from trading hours tweets could predict next day’s returns of S&P500 Futures, Emini S&P500 Futures, Emini Dow Futures and Emini NASDAQ100 Futures. A one percent increase in positive sentiment indicates adecrease of 0.054% in Emini NASDAQ100 Futures next day return and 0.044% in EMini Dow Futures next day return.
|Publication status||Published - 17 Oct 2018|
|Event||The Academy of Behavioral Finance and Economics 11th Annual Meeting - DePaul University, Chicago, United States|
Duration: 17 Oct 2018 → 20 Oct 2018
|Conference||The Academy of Behavioral Finance and Economics 11th Annual Meeting|
|Period||17/10/18 → 20/10/18|