Sentiment revealed in social media and its effect on the stock market

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)peer-review

12 Scopus Citations
View graph of relations

Author(s)

Detail(s)

Original languageEnglish
Title of host publicationIEEE Workshop on Statistical Signal Processing Proceedings
Pages25-28
Publication statusPublished - 2011
Externally publishedYes

Conference

Title2011 IEEE Statistical Signal Processing Workshop, SSP 2011
PlaceFrance
CityNice
Period28 - 30 June 2011

Abstract

This paper investigates the extent to which sentiment revealed by traditional media and social media affects the stock market. We extract sentiment by conducting a textual analysis of articles published in the Wall Street Journal and Seeking Alpha, a popular social-media platform. We find that social-media sentiment associates strongly with contemporaneous and subsequent stock returns, even after controlling for traditional-media sentiment. The media effect is stronger for articles more closely followed by market participants and for companies mostly held by retail investors. Together, these findings point to the importance of social media as an additional channel through which views become reflected in the stock price. © 2011 IEEE.

Research Area(s)

  • sentiment, Social media, stock market

Citation Format(s)

Sentiment revealed in social media and its effect on the stock market. / Chen, Hailiang; De, Prabuddha; Hu, Yu; Hwang, Byoung-Hyoun.

IEEE Workshop on Statistical Signal Processing Proceedings. 2011. p. 25-28 5967675.

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)peer-review