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Impact of Social Media on the Stock Market: Evidence from Tweets

Author

Listed:
  • Vojtěch Fiala

    (Mendel University in Brno, Czech Republic)

  • Svatopluk Kapounek

    (Mendel University in Brno, Czech Republic)

  • Ondřej Veselý

    (Mendel University in Brno, Czech Republic)

Abstract

The paper deals with the impact of the economic agent sentiment on the return for Apple and Microsoft stocks. We employed text mining procedures to analyze Twitter messages with either negative or positive sentiment towards the chosen stock titles. Those sentiments were identified by developed algorithms which are capable of identifying sentiment towards companies and also counting the numbers of tweets in the same group. This resulted in counts of tweets with positive and negative sentiment. Then we ran analysis in order to find causality between sentiment levels and the stock price of companies. To identify causal effects we applied Granger causality tests. We found bilateral causality between the risk premium and the amount of news distributed by Twitter messages.

Suggested Citation

  • Vojtěch Fiala & Svatopluk Kapounek & Ondřej Veselý, 2015. "Impact of Social Media on the Stock Market: Evidence from Tweets," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 1(1), pages 24-35, November.
    • Handle: RePEc:men:journl:v:1:y:2015:i:1:p:24-35
    DOI: https://doi.org/10.11118/ejobsat.v1i1.35
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    File URL: https://journal.ejobsat.cz/index.php/ejobsat/article/download/35/pdf_4
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    stock returns; Granger causality; text mining; sentiment analysis; CAPM;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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