Spillover Between Investor Sentiment and Volatility: The Role of Social Media

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aut.relation.journalInternational Review of Financial Analysis
dc.contributor.authorYang, Ni
dc.contributor.authorFernandez-Perez, Adrian
dc.contributor.authorIndriawan, Ivan
dc.date.accessioned2024-10-15T01:01:57Z
dc.date.available2024-10-15T01:01:57Z
dc.date.issued2024-10-05
dc.description.abstractWe examine the spillover effects between social media sentiments and market-implied volatilities among stock, bond, foreign exchange, and commodity markets. We find that information mainly spillovers from volatility to sentiment indices, with the VIX being the most significant net transmitter. Within each asset class, there is a more pronounced spillover from volatility to sentiment compared to the reverse, implying that a significant portion of investor sentiment is volatility-driven. This relationship intensifies in turbulent economic periods, such as during the Global Financial Crisis, Brexit, the US-China trade war, and the COVID-19 pandemic. Our analysis also reveals that sentiment indices can transition from net receivers to net transmitters of shocks during turbulent periods. This can be explained by the echo chamber effect, where social media echo prevailing news signals, and some investors interpret repeated signals as genuinely new information.
dc.identifier.citationInternational Review of Financial Analysis, ISSN: 1057-5219 (Print); 1873-8079 (Online), Elsevier. doi: 10.1016/j.irfa.2024.103643
dc.identifier.doi10.1016/j.irfa.2024.103643
dc.identifier.issn1057-5219
dc.identifier.issn1873-8079
dc.identifier.urihttp://hdl.handle.net/10292/18133
dc.publisherElsevier
dc.relation.urihttps://www.sciencedirect.com/science/article/pii/S1057521924005751
dc.rights© 2024 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
dc.rights.accessrightsOpenAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject1501 Accounting, Auditing and Accountability
dc.subject1502 Banking, Finance and Investment
dc.subject1801 Law
dc.subjectFinance
dc.subject3501 Accounting, auditing and accountability
dc.subject3502 Banking, finance and investment
dc.subject3801 Applied economics
dc.titleSpillover Between Investor Sentiment and Volatility: The Role of Social Media
dc.typeJournal Article
pubs.elements-id571840
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