Can Social Media Sentiment Predict Market Returns? Evidence from StockTwits

Veelaiporn Promwichit; Arman Eshraghi; Ronan Gallagher

Can Social Media Sentiment Predict Market Returns? Evidence from StockTwits

Veelaiporn Promwichit, Arman Eshraghi, Ronan Gallagher

Research output: Contribution to conference › Paper › peer-review

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.

Original language	English
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 https://www.aobf.org/ssl/2018/attachments/2018Program.pdf

Conference

Conference	The Academy of Behavioral Finance and Economics 11th Annual Meeting
Abbreviated title	ABF
Country/Territory	United States
City	Chicago
Period	17/10/18 → 20/10/18
Internet address	https://www.aobf.org/ssl/2018/attachments/2018Program.pdf

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https://efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2018-Milan/002.pdf

Cite this

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title = "Can Social Media Sentiment Predict Market Returns? Evidence from StockTwits",

abstract = "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{\textquoteright}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. ",

author = "Veelaiporn Promwichit and Arman Eshraghi and Ronan Gallagher",

year = "2018",

month = oct,

day = "17",

language = "English",

note = "The Academy of Behavioral Finance and Economics 11th Annual Meeting, ABF ; Conference date: 17-10-2018 Through 20-10-2018",

url = "https://www.aobf.org/ssl/2018/attachments/2018Program.pdf",

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TY - CONF

T1 - Can Social Media Sentiment Predict Market Returns? Evidence from StockTwits

AU - Promwichit, Veelaiporn

AU - Eshraghi, Arman

AU - Gallagher, Ronan

PY - 2018/10/17

Y1 - 2018/10/17

N2 - 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.

AB - 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.

M3 - Paper

T2 - The Academy of Behavioral Finance and Economics 11th Annual Meeting

Y2 - 17 October 2018 through 20 October 2018

ER -

Can Social Media Sentiment Predict Market Returns? Evidence from StockTwits

Abstract / Description of output

Conference

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Cite this