eprintid: 2793
rev_number: 9
eprint_status: archive
userid: 69
dir: disk0/00/00/27/93
datestamp: 2015-11-02 13:37:08
lastmod: 2015-11-02 13:37:08
status_changed: 2015-11-02 13:37:08
type: article
metadata_visibility: show
creators_name: Ranco, Gabriele
creators_name: Aleksovski, Darko
creators_name: Caldarelli, Guido
creators_name: Grčar, Miha
creators_name: Mozetič, Igor
creators_id: 
creators_id: 
creators_id: guido.caldarelli@imtlucca.it
creators_id: 
creators_id: 
title: The Effects of Twitter Sentiment on Stock Price Returns
ispublished: pub
subjects: H1
subjects: HA
subjects: HG
divisions: EIC
full_text_status: public
abstract: Social media are increasingly reflecting and influencing behavior of other complex systems. In this paper we investigate the relations between a well-known micro-blogging platform Twitter and financial markets. In particular, we consider, in a period of 15 months, the Twitter volume and sentiment about the 30 stock companies that form the Dow Jones Industrial Average (DJIA) index. We find a relatively low Pearson correlation and Granger causality between the corresponding time series over the entire time period. However, we find a significant dependence between the Twitter sentiment and abnormal returns during the peaks of Twitter volume. This is valid not only for the expected Twitter volume peaks (e.g., quarterly announcements), but also for peaks corresponding to less obvious events. We formalize the procedure by adapting the well-known “event study” from economics and finance to the analysis of Twitter data. The procedure allows to automatically identify events as Twitter volume peaks, to compute the prevailing sentiment (positive or negative) expressed in tweets at these peaks, and finally to apply the “event study” methodology to relate them to stock returns. We show that sentiment polarity of Twitter peaks implies the direction of cumulative abnormal returns. The amount of cumulative abnormal returns is relatively low (about 1–2), but the dependence is statistically significant for several days after the events.
date: 2015
date_type: published
publication: PloS One
volume: 10
number: 9
publisher: Public Library of Science
pagerange: e0138441
id_number: 10.1371%2Fjournal.pone.0138441
refereed: TRUE
issn: 1932-6203
official_url: http://dx.doi.org/10.1371%2Fjournal.pone.0138441
citation:   Ranco, Gabriele and Aleksovski, Darko and Caldarelli, Guido and Grčar, Miha and Mozetič, Igor  The Effects of Twitter Sentiment on Stock Price Returns.  PloS One, 10 (9).  e0138441.  ISSN 1932-6203      (2015)  
document_url: http://eprints.imtlucca.it/2793/1/effects.pdf