The Effects of Twitter Sentiment on Stock Price Returns
Publication Date
September 21, 2015
Journal
PLOS ONE
Authors
Gabriele Ranco, Darko Aleksovski, Guido Caldarelli, Miha Grčar, et al
Volume
10
Issue
9
Pages
e0138441
DOI
https://dx.plos.org/10.1371/journal.pone.0138441
Publisher URL
http://journals.plos.org/plosone/article?id=10.1371%2Fjournal.pone.0138441
PubMed
http://www.ncbi.nlm.nih.gov/pubmed/26390434
PubMed Central
http://www.ncbi.nlm.nih.gov/pmc/articles/PMC4577113
Europe PMC
http://europepmc.org/abstract/MED/26390434
Web of Science
000361791000028
Scopus
84946594788
Mendeley
http://www.mendeley.com/research/effects-twitter-sentiment-stock-price-returns
Events
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Mendeley | Further Information

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CrossRef

Scopus | Further Information

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Figshare

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  • {"files"=>["https://ndownloader.figshare.com/files/2281771"], "description"=>"<p>The <i>x</i> axis is the lag between the event and <i>CAR</i>, and the red markers indicate days with statistically significant abnormal return.</p>", "links"=>[], "tags"=>["sentiment", "return", "Twitter volume", "30 stock companies", "Dow Jones Industrial Average", "Stock Price Returns Social media", "djia", "Twitter volume peaks"], "article_id"=>1551726, "categories"=>["Uncategorised"], "users"=>["Gabriele Ranco", "Darko Aleksovski", "Guido Caldarelli", "Miha Grčar", "Igor Mozetič"], "doi"=>"https://dx.doi.org/10.1371/journal.pone.0138441.g005", "stats"=>{"downloads"=>0, "page_views"=>11, "likes"=>0}, "figshare_url"=>"https://figshare.com/articles/_CAR_for_non_EA_events_/1551726", "title"=>"<i>CAR</i> for non-EA events.", "pos_in_sequence"=>0, "defined_type"=>1, "published_date"=>"2015-09-21 03:15:58"}
  • {"files"=>["https://ndownloader.figshare.com/files/2281772"], "description"=>"<p>For each company, there is the DJIA ticker symbol and the number of collected tweets.</p>", "links"=>[], "tags"=>["sentiment", "return", "Twitter volume", "30 stock companies", "Dow Jones Industrial Average", "Stock Price Returns Social media", "djia", "Twitter volume peaks"], "article_id"=>1551727, "categories"=>["Uncategorised"], "users"=>["Gabriele Ranco", "Darko Aleksovski", "Guido Caldarelli", "Miha Grčar", "Igor Mozetič"], "doi"=>"https://dx.doi.org/10.1371/journal.pone.0138441.t001", "stats"=>{"downloads"=>3, "page_views"=>29, "likes"=>0}, "figshare_url"=>"https://figshare.com/articles/_The_Twitter_data_for_the_15_months_period_/1551727", "title"=>"The Twitter data for the 15 months period.", "pos_in_sequence"=>0, "defined_type"=>3, "published_date"=>"2015-09-21 03:15:58"}
  • {"files"=>["https://ndownloader.figshare.com/files/2281773"], "description"=>"<p>The inter-annotator agreement is computed from the examples labeled twice. The classifier performance is estimated from the 10-fold cross-validation.</p>", "links"=>[], "tags"=>["sentiment", "return", "Twitter volume", "30 stock companies", "Dow Jones Industrial Average", "Stock Price Returns Social media", "djia", "Twitter volume peaks"], "article_id"=>1551728, "categories"=>["Uncategorised"], "users"=>["Gabriele Ranco", "Darko Aleksovski", "Guido Caldarelli", "Miha Grčar", "Igor Mozetič"], "doi"=>"https://dx.doi.org/10.1371/journal.pone.0138441.t002", "stats"=>{"downloads"=>1, "page_views"=>11, "likes"=>0}, "figshare_url"=>"https://figshare.com/articles/_A_comparison_of_the_inter_annotator_agreement_and_the_classifier_performance_/1551728", "title"=>"A comparison of the inter-annotator agreement and the classifier performance.", "pos_in_sequence"=>0, "defined_type"=>3, "published_date"=>"2015-09-21 03:15:58"}
  • {"files"=>["https://ndownloader.figshare.com/files/2281774"], "description"=>"<p>Companies are ordered as in <a href=\"http://www.plosone.org/article/info:doi/10.1371/journal.pone.0138441#pone.0138441.t001\" target=\"_blank\">Table 1</a>. The arrows indicate a statistically significant Granger causality relation for a company, at the 5% significance level. A right arrow indicates that the Twitter variable (sentiment polarity <i>P</i><sub><i>d</i></sub> or volume <i>TW</i><sub><i>d</i></sub>) Granger-causes the market variable (return <i>R</i><sub><i>d</i></sub>), while a left arrow indicates that the market variable Granger-causes the Twitter variable. The counts at the bottom show the total number of companies passing the Granger test.</p>", "links"=>[], "tags"=>["sentiment", "return", "Twitter volume", "30 stock companies", "Dow Jones Industrial Average", "Stock Price Returns Social media", "djia", "Twitter volume peaks"], "article_id"=>1551729, "categories"=>["Uncategorised"], "users"=>["Gabriele Ranco", "Darko Aleksovski", "Guido Caldarelli", "Miha Grčar", "Igor Mozetič"], "doi"=>"https://dx.doi.org/10.1371/journal.pone.0138441.t003", "stats"=>{"downloads"=>5, "page_views"=>31, "likes"=>0}, "figshare_url"=>"https://figshare.com/articles/_Results_of_the_Pearson_correlation_and_Granger_causality_tests_/1551729", "title"=>"Results of the Pearson correlation and Granger causality tests.", "pos_in_sequence"=>0, "defined_type"=>3, "published_date"=>"2015-09-21 03:15:58"}
  • {"files"=>["https://ndownloader.figshare.com/files/2281775"], "description"=>"<p>Significant results at the 1% level (<math><mrow><mo stretchy=\"false\">∣</mo><mi>θ</mi><mo>^</mo><mo stretchy=\"false\">∣</mo><mo>></mo><mn>2</mn><mo>.</mo><mn>58</mn></mrow></math>) are denoted by **, and at the 5% level (<math><mrow><mo stretchy=\"false\">∣</mo><mi>θ</mi><mo>^</mo><mo stretchy=\"false\">∣</mo><mo>></mo><mn>1</mn><mo>.</mo><mn>96</mn></mrow></math>) by *.</p>", "links"=>[], "tags"=>["sentiment", "return", "Twitter volume", "30 stock companies", "Dow Jones Industrial Average", "Stock Price Returns Social media", "djia", "Twitter volume peaks"], "article_id"=>1551730, "categories"=>["Uncategorised"], "users"=>["Gabriele Ranco", "Darko Aleksovski", "Guido Caldarelli", "Miha Grčar", "Igor Mozetič"], "doi"=>"https://dx.doi.org/10.1371/journal.pone.0138441.t004", "stats"=>{"downloads"=>2, "page_views"=>17, "likes"=>0}, "figshare_url"=>"https://figshare.com/articles/_Values_of_the_952__statistic_for_each_type_of_event_/1551730", "title"=>"Values of the θ^ statistic for each type of event.", "pos_in_sequence"=>0, "defined_type"=>3, "published_date"=>"2015-09-21 03:15:58"}
  • {"files"=>["https://ndownloader.figshare.com/files/2281776"], "description"=>"<div><p>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.</p></div>", "links"=>[], "tags"=>["sentiment", "return", "Twitter volume", "30 stock companies", "Dow Jones Industrial Average", "Stock Price Returns Social media", "djia", "Twitter volume peaks"], "article_id"=>1551731, "categories"=>["Uncategorised"], "users"=>["Gabriele Ranco", "Darko Aleksovski", "Guido Caldarelli", "Miha Grčar", "Igor Mozetič"], "doi"=>"https://dx.doi.org/10.1371/journal.pone.0138441", "stats"=>{"downloads"=>15, "page_views"=>29, "likes"=>0}, "figshare_url"=>"https://figshare.com/articles/_The_Effects_of_Twitter_Sentiment_on_Stock_Price_Returns_/1551731", "title"=>"The Effects of Twitter Sentiment on Stock Price Returns", "pos_in_sequence"=>0, "defined_type"=>3, "published_date"=>"2015-09-21 03:15:58"}

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{"start_date"=>"2015-01-01T00:00:00Z", "end_date"=>"2015-12-31T00:00:00Z", "subject_areas"=>[]}
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