More than just Noise? Examining the Information Content of Stock Microblogs on Financial Markets
Authors: Li, Ting; van Dalen, Jan; van Rees, Pieter Jan
Journal: Journal of Information Technology (2018)
DOI: 10.1057/s41265-016-0034-2
<jats:p>Scholars and practitioners alike increasingly recognize the importance of stock microblogs as they capture the market discussion and have predictive value for financial markets. This paper examines the extent to which stock microblog messages are related to financial market indicators and the mechanism leading to efficient aggregation of information. In particular, this paper investigates the information content of stock microblogs with respect to individual stocks and explores the effects of social influences on an interday and intraday basis. We collected more than 1.2 million stock-related messages (i.e., tweets) related to S&P 100 companies over a period of 7 months. Using methods from computational linguistics, we went through an elaborate process of message feature reduction, spam detection, language detection, and slang removal, which has led to an increase in classification accuracy for sentiment analysis. We analyzed the data on both a daily and a 15-min basis and found that the sentiment of messages is positively affected with contemporaneous daily abnormal stock returns and that message volume predicts 15-min follow-up returns, trading volume, and volatility. Di…