The Price Impact of Tweets: A High-Frequency Study
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Yang, Ni
Fernandez-Perez, Adrian
Indriawan, Ivan
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Wiley
Abstract
We examine the mechanism by which social media sentiment affects stock prices. Specifically, we assess the impact of Twitter feeds on stock returns at the intraday level. We find that an increase in buyer-initiated trades has a significantly positive price impact. This impact, however, is stronger with an increase in the number of tweets and sentiment, and persists even after controlling for volatility, liquidity shock, and limit-order activity. The impact of Twitter sentiment on prices causes a lingering mispricing effect that is not fully assimilated at the intraday level. Rather, this mispricing takes several days to correct.
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1502 Banking, Finance and Investment, 3502 Banking, finance and investment
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Financial Review, ISSN: 0732-8516 (Print); 1540-6288 (Online), Wiley. doi: 10.1111/fire.12406
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Creative Commons Attribution-NonCommercial License
© 2024 The Author(s). The Financial Review published by Wiley Periodicals LLC on behalf of Eastern Finance Association. This is an open access article under the terms of the Creative Commons Attribution-NonCommercial License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited and is not used for commercial purposes.
© 2024 The Author(s). The Financial Review published by Wiley Periodicals LLC on behalf of Eastern Finance Association. This is an open access article under the terms of the Creative Commons Attribution-NonCommercial License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited and is not used for commercial purposes.
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Except where otherwise noted, this item's license is described as Creative Commons Attribution-NonCommercial License