Publicação
On the predictability of stock market behavior using StockTwits sentiment and posting volume
| Resumo: | Inthisstudy,weexploreddatafromStockTwits,amicroblog- ging platform exclusively dedicated to the stock market. We produced several indicators and analyzed their value when predicting three market variables: returns, volatility and trading volume. For six major stocks, we measured posting volume and sentiment indicators. We advance on the previous studies on this subject by considering a large time period, using a robust forecasting exercise and performing a statistical test of forecasting ability. In contrast with previous studies, we find no evidence of return predictability using sentiment indicators, and of information content of posting volume for forecasting volatility. However, there is ev- idence that posting volume can improve the forecasts of trading volume, which is useful for measuring stock liquidity (e.g. assets easily sold). |
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| Autores principais: | Oliveira, Nuno |
| Outros Autores: | Cortez, Paulo; Areal, Nelson |
| Assunto: | Microblogging data Returns Trading volume Volatility Regression |
| Ano: | 2013 |
| País: | Portugal |
| Tipo de documento: | comunicação em conferência |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| Resumo: | Inthisstudy,weexploreddatafromStockTwits,amicroblog- ging platform exclusively dedicated to the stock market. We produced several indicators and analyzed their value when predicting three market variables: returns, volatility and trading volume. For six major stocks, we measured posting volume and sentiment indicators. We advance on the previous studies on this subject by considering a large time period, using a robust forecasting exercise and performing a statistical test of forecasting ability. In contrast with previous studies, we find no evidence of return predictability using sentiment indicators, and of information content of posting volume for forecasting volatility. However, there is ev- idence that posting volume can improve the forecasts of trading volume, which is useful for measuring stock liquidity (e.g. assets easily sold). |
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