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The Twitter myth revisited: Intraday investor sentiment, Twitter activity and individual-level stock return volatility

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  • Behrendt, Simon
  • Schmidt, Alexander

Abstract

Taking an intraday perspective, we study the dynamics of individual-level stock return volatility, measured by absolute 5-minute returns, and Twitter sentiment and activity. After accounting for the intraday periodicity in absolute returns, we discover some statistically significant co-movements of intraday volatility and information from stock-related Tweets for all constituents of the Dow Jones Industrial Average. However, economically, the effects are of negligible magnitude and out-of-sample forecast performance is not improved when including Twitter sentiment and activity as exogenous variables. From a practical point of view, we find that high-frequency Twitter information is not particularly useful for highly active investors with access to such data for intraday volatility assessment and forecasting when considering individual-level stocks.

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  • Behrendt, Simon & Schmidt, Alexander, 2018. "The Twitter myth revisited: Intraday investor sentiment, Twitter activity and individual-level stock return volatility," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 355-367.
    • Handle: RePEc:eee:jbfina:v:96:y:2018:i:c:p:355-367
    DOI: 10.1016/j.jbankfin.2018.09.016
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