Can Social Media Sentiment Predict Market Returns? Evidence from StockTwits

Veelaiporn Promwichit, Arman Eshraghi, Ronan Gallagher

Research output: Contribution to conferencePaperpeer-review

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’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 languageEnglish
Publication statusPublished - 17 Oct 2018
EventThe Academy of Behavioral Finance and Economics 11th Annual Meeting - DePaul University, Chicago, United States
Duration: 17 Oct 201820 Oct 2018
https://www.aobf.org/ssl/2018/attachments/2018Program.pdf

Conference

ConferenceThe Academy of Behavioral Finance and Economics 11th Annual Meeting
Abbreviated titleABF
Country/TerritoryUnited States
CityChicago
Period17/10/1820/10/18
Internet address

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