IDEAS home Printed from https://ideas.repec.org/a/cbu/jrnlec/y2023v6p40-50.html
   My bibliography  Save this article

Social Media, Trading Volume, Volatility And Stock Prices

Author

Listed:
  • HALIL D KAYA

    (DEPARTMENT OF ACCOUNTING AND FINANCE, COLLEGE OF BUSINESS AND TECHNOLOGY, NORTHEASTERN STATE UNIVERSITY, BROKEN ARROW, OK 74014)

  • ABHINAV MARAMRAJU

    (WEST WINDSOR-PLAINSBORO HIGH SCHOOL SOUTH, 346 CLARKSVILLE RD, PRINCETON JUNCTION, NJ 08550)

  • ANISH NALLAPU

    (GREEN HOPE HIGH SCHOOL, 2500 CARPENTER UPCHURCH RD, CARY, NC 27519)

Abstract

This study investigates the impact of social media events on the behavior of six mega-cap technology stocks. Analyzing both positive and negative events, we find that negative events correlate with higher VIX Betas and trading volumes, while positive events are linked to higher stock prices. These effects vary across individual stocks, and unexpected associations emerge, such as increased trading volume for certain positive events. Our findings offer insights into the intricate interplay between social media events and market dynamics, highlighting the nuanced influences on volatility, trading volume, and stock prices for specific stocks. This study contributes to our understanding of the complex relationship between social media and financial markets, emphasizing the importance of considering stock-specific dynamics in investment strategies.

Suggested Citation

  • Halil D Kaya & Abhinav Maramraju & Anish Nallapu, 2023. "Social Media, Trading Volume, Volatility And Stock Prices," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 6, pages 40-50, December.
    • Handle: RePEc:cbu:jrnlec:y:2023:v:6:p:40-50
    as

    Download full text from publisher

    File URL: https://www.utgjiu.ro/revista/ec/pdf/2023-06/05_halil.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Carl Ajjoub & Thomas Walker & Yunfei Zhao, 2020. "Social media posts and stock returns: The Trump factor," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 17(2), pages 185-213, June.
    2. Wang, Xinjie & Xiang, Zhiqiang & Xu, Weike & Yuan, Peixuan, 2022. "The causal relationship between social media sentiment and stock return: Experimental evidence from an online message forum," Economics Letters, Elsevier, vol. 216(C).
    3. Paniagua, Jordi & Sapena, Juan, 2014. "Business performance and social media: Love or hate?," Business Horizons, Elsevier, vol. 57(6), pages 719-728.
    4. Daifeng Li & Yintian Wang & Andrew Madden & Ying Ding & Jie Tang & Gordon Guozheng Sun & Ning Zhang & Enguo Zhou, 2019. "Analyzing stock market trends using social media user moods and social influence," Journal of the Association for Information Science & Technology, Association for Information Science & Technology, vol. 70(9), pages 1000-1013, September.
    5. Lehrer, Steven & Xie, Tian & Zhang, Xinyu, 2021. "Social media sentiment, model uncertainty, and volatility forecasting," Economic Modelling, Elsevier, vol. 102(C).
    6. van Dieijen, M.J. & Borah, A. & Tellis, G.J. & Franses, Ph.H.B.F., 2019. "Big Data Analysis of Volatility Spillovers of Brands across Social Media and Stock Markets," Econometric Institute Research Papers EI-1691, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Carl Ajjoub & Thomas Walker & Yunfei Zhao, 2020. "Social media posts and stock returns: The Trump factor," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 17(2), pages 185-213, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Femg, Xunan & Johansson, Anders C., 2019. "News or Noise? The Information Content of Social Media in China," Stockholm School of Economics Asia Working Paper Series 2019-52, Stockholm School of Economics, Stockholm China Economic Research Institute.
    2. Zhang, Yin & Lu, Baozhou & Zheng, Haidong, 2020. "Can buzzing bring business? Social interactions, network centrality and sales performance: An empirical study on business-to-business communities," Journal of Business Research, Elsevier, vol. 112(C), pages 170-189.
    3. Marjeta Marolt & Hans-Dieter Zimmermann & Andreja Pucihar, 2022. "Social Media Use and Business Performance in SMEs: The Mediating Roles of Relational Social Commerce Capability and Competitive Advantage," Sustainability, MDPI, vol. 14(22), pages 1-14, November.
    4. Xiong, Feng & Chapple, Larelle & Yin, Haiying, 2018. "The use of social media to detect corporate fraud: A case study approach," Business Horizons, Elsevier, vol. 61(4), pages 623-633.
    5. Amoah John & Nutakor Felix & Li Jinke & Jibril Abdul Bashiru & Sanful Benjamin & Odei Michael Amponsah, 2021. "Antecedents of social media usage intensity in the financial sector of an emerging economy: a Pls-Sem Algorithm," Management & Marketing, Sciendo, vol. 16(4), pages 387-406, December.
    6. Nerger, Gian-Luca & Huynh, Toan Luu Duc & Wang, Mei, 2021. "Which industries benefited from Trump environmental policy news? Evidence from industrial stock market reactions," Research in International Business and Finance, Elsevier, vol. 57(C).
    7. Apostolidis, Chrysostomos & Devine, Anthony & Jabbar, Abdul, 2022. "From chalk to clicks – The impact of (rapid) technology adoption on employee emotions in the higher education sector," Technological Forecasting and Social Change, Elsevier, vol. 182(C).
    8. Liu, Zhenyuan & Geng, Ruoqi & Tse, Ying Kei (Mike) & Han, Shuihua, 2023. "Mapping the relationship between social media usage and organizational performance: A meta-analysis," Technological Forecasting and Social Change, Elsevier, vol. 187(C).
    9. Foltean, Florin Sabin & Trif, Simona Mihaela & Tuleu, Daniela Liliana, 2019. "Customer relationship management capabilities and social media technology use: Consequences on firm performance," Journal of Business Research, Elsevier, vol. 104(C), pages 563-575.
    10. Ariana Emanuela Tal, 2017. "The Impact Of Social Media On The Relationship Between Businesses And Customers," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 861-868, July.
    11. Yao, Becatien H. & Shanoyan, Aleksan & Peterson, Hikaru Hanawa, 2017. "The Use of New Media Marketing in the Green Industry: Analysis of Social Media Adoption and its Impact on Sales," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258292, Agricultural and Applied Economics Association.
    12. Othman Boujena & Isabelle Ulrich & Aikaterini Manthiou & Bruno Godey, 2021. "Customer engagement and performance in social media: a managerial perspective," Electronic Markets, Springer;IIM University of St. Gallen, vol. 31(4), pages 965-987, December.
    13. Michela Floris & Angela Dettori, 2020. "Is Social Media Adoption a Powerful Means to Reach High Performance in Small- and Medium-Sized Firms? An Empirical Investigation," International Journal of Marketing Studies, Canadian Center of Science and Education, vol. 12(2), pages 1-50, July.
    14. Jennifer Johnson Jorgensen & Katelyn Sorensen, 2021. "Negative e-WOM Resulting from Political Posts on Social Media: A Case Study of a Small Retailer’s Struggle over Time," Social Sciences, MDPI, vol. 10(9), pages 1-11, August.
    15. Qin Yang & Young-Chan Lee, 2022. "What Drives the Digital Customer Experience and Customer Loyalty in Mobile Short-Form Video Shopping? Evidence from Douyin (TikTok)," Sustainability, MDPI, vol. 14(17), pages 1-19, August.
    16. Na, Haejung & Kim, Soonho, 2021. "Predicting stock prices based on informed traders’ activities using deep neural networks," Economics Letters, Elsevier, vol. 204(C).
    17. Ljiljana Kašćelan & Mirjana Pejić Bach & Biljana Rondović & Tamara Đuričković, 2020. "The interaction between social media, knowledge management and service quality: A decision tree analysis," PLOS ONE, Public Library of Science, vol. 15(8), pages 1-30, August.
    18. Pham, Duong Phuong Thao & Huynh, Ngoc Quang Anh & Duong, Duy, 2022. "The impact of US presidents on market returns: Evidence from Trump's tweets," Research in International Business and Finance, Elsevier, vol. 62(C).
    19. Avneet Kaur & Sujata Khandai & Jones Mathew, 2023. "Mapping the Field of Social Media Engagement: A Literature Review Using Bibliometric Analysis," FIIB Business Review, , vol. 12(4), pages 368-385, December.
    20. Arpan Kumar Kar, 2021. "What Affects Usage Satisfaction in Mobile Payments? Modelling User Generated Content to Develop the “Digital Service Usage Satisfaction Model”," Information Systems Frontiers, Springer, vol. 23(5), pages 1341-1361, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cbu:jrnlec:y:2023:v:6:p:40-50. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ecobici Nicolae (email available below). General contact details of provider: https://edirc.repec.org/data/fetgjro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.