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Social media disagreement and financial markets: A comparison of stocks and Bitcoin

Author

Listed:
  • Akarsu Sergen

    (Boğaziçi University, Department of Management, Bebek, Istanbul, 34342, Türkiye)

  • Yilmaz Neslihan

    (Boğaziçi University, Department of Management, Bebek, Istanbul, 34342, Türkiye)

Abstract

We examine whether disagreement in social media discussions related to financial markets affects subsequent volatility and abnormal trading volume. We also compare how traditional and digital asset markets differ by comparing stocks and Bitcoin. We show that social media disagreement is positively associated with future market volatility and abnormal trading volume in the stock market. The effect of disagreement is more pronounced at the individual stock level than at the index level. A higher level of social media disagreement also increases the probability of extremely negative stock market returns. In contrast, disagreement in Bitcoin-related social media weakly affects subsequent volatility but does not affect trading volume or extremely negative returns. Our findings also reveal that market activity impacts the disagreement in the stock market and Bitcoin communities differently.

Suggested Citation

  • Akarsu Sergen & Yilmaz Neslihan, 2024. "Social media disagreement and financial markets: A comparison of stocks and Bitcoin," Economics and Business Review, Sciendo, vol. 10(4), pages 189-213.
    • Handle: RePEc:vrs:ecobur:v:10:y:2024:i:4:p:189-213:n:1007
    DOI: 10.18559/ebr.2024.4.1683
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    References listed on IDEAS

    as
    1. Benjamin M Blau & Ryan J Whitby, 2017. "Range-based volatility, expected stock returns, and the low volatility anomaly," PLOS ONE, Public Library of Science, vol. 12(11), pages 1-19, November.
    2. Yongkil Ahn & Dongyeon Kim, 2020. "Sentiment disagreement and bitcoin price fluctuations: a psycholinguistic approach," Applied Economics Letters, Taylor & Francis Journals, vol. 27(5), pages 412-416, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    disagreement; trading volume; volatility; Bitcoin; Reddit;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

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