University of Twente Student Theses

Login

The predictive characteristic of the social sentiment on the stock market: Twitter and the stock trend

Lo Giudice, Moreno (2015) The predictive characteristic of the social sentiment on the stock market: Twitter and the stock trend.

[img] PDF
504kB
Abstract:The study analysed the relationship between the stock return and the investors’ sentiment. The sentiment data has been collected through Twitter, by recording tweets containing a cashtag with the ticker of the companies. Two measures have been implemented to categorise the sentiment. The data gathered shows a large increase of the usage of Twitter by investors. The hypotheses have been tested using the vector autoregression model (VAR) and the causal relationship between the two variables is evaluated with the Granger causality test. The findings reject the possibility of one direction of the causal relationship, thus the investors’ sentiment fails to affect the return of the stocks. However the results show a significant causal relationship in the opposite direction, thereby the stock returns seem to affect significantly the investors’ sentiment. Furthermore, evidence from the VAR model suggests that some stocks do not follow the random walk of the returns, but there is a correlation between the stock returns in a short period. In addition, investors tend to believe in certain pattern of the stock returns, thus they themselves do not believe in the random walk. In conclusion, the sentiment data cannot be exploited to build a trading strategy aimed at forecasting the stock price.
Item Type:Essay (Bachelor)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:83 economics
Programme:International Business Administration BSc (50952)
Link to this item:http://purl.utwente.nl/essays/67238
Export this item as:BibTeX
EndNote
HTML Citation
Reference Manager

 

Repository Staff Only: item control page