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Can Twitter Forecast Uncertainty of Stocks?Abstract: Academic studies have shown that there is a relationship between emotional analysis results of tweets and stock price movements, and then stock prices can be estimated using this relationship. In this study, in which the effect of tweets on the volatility of the stock is estimated, the volatility scores and the emotion scores between the stocks were also revealed. In the scope of the study, sentiment analysis with Naive Bayes was performed on Turkish tweets shared by three phone companies (Alcatel, Turkcell and Vestel) which are in Borsa Istanbul and whose products are sold in Turkey. According to the results of the analysis, it was found that sentiment scores obtained for Turkcell and Vestel significantly increased Alcatel's conditional variance statistically

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  • Gürkan BOZMA
  • Sinan KUL

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  • Gürkan BOZMA & Sinan KUL, 2020. "Can Twitter Forecast Uncertainty of Stocks?Abstract: Academic studies have shown that there is a relationship between emotional analysis results of tweets and stock price movements, and then stock pri," Sosyoekonomi Journal, Sosyoekonomi Society, issue 28(45).
    • Handle: RePEc:sos:sosjrn:200318
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    More about this item

    Keywords

    Sentiment Analysis; Turkish Tweet; Natural Language Processing; Data Mining; Text Mining; Stock Market Prediction; Machine Learning; Naive Bayes; BEKK-GARCH-X.;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making

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