Impact of Twitter sentiment on stock price returns

Bibliometric Analysis of Granger Causality Studies

Granger causality provides a framework that uses predictability to identify causation between time series variables. This is important to policymakers for effective policy management and recommendations. Granger causality is recognized as the primary advance on the causation problem. The objective of this paper is to conduct a bibliometric analysis of Granger causality publications indexed in the Web of Science database. Harzing's Publish or Perish and VOSviewer were used for performance analysis and science mapping. The first paper indexed was published in 1981 and there has been an upward trend in the annual publication of Granger causality studies which are shifting towards the areas of environmental science, energy, and economics. Most of the publications are articles and proceeding papers under the areas of business economics, environmental science ecology, and neurosciences/neurology. China has the highest number of publications while the United States has the highest number of citations. England has the highest citation impact. This paper also constructed country co-authorship, co-analysis of cited references, cited sources, and cited authors, keyword co-occurrence, and keyword overlay visualization maps.

Social network analysis of Twitter interactions: a directed multilayer network approach

Effective employment of social media for any social influence outcome requires a detailed understanding of the target audience. Social media provides a rich repository of self-reported information that provides insight regarding the sentiments and implied priorities of an online population. Using Social Network Analysis, this research models user interactions on Twitter as a weighted, directed network. Topic modeling through Latent Dirichlet Allocation identifies the topics of discussion in Tweets, which this study uses to induce a directed multilayer network wherein users (in one layer) are connected to the conversations and topics (in a second layer) in which they have participated, with inter-layer connections representing user participation in conversations. Analysis of the resulting network identifies both influential users and highly connected groups of individuals, informing an understanding of group dynamics and individual connectivity. The results demonstrate that the generation of a topically-focused social network to represent conversations yields more robust findings regarding influential users, particularly when analysts collect Tweets from a variety of discussions through more general search queries. Within the analysis, PageRank performed best among four measures used to rank individual influence within this problem context. In contrast, the results of applying both the Greedy Modular Algorithm and the Leiden Algorithm to identify communities were mixed; each method yielded valuable insights, but neither technique was uniformly superior. The demonstrated four-step process is readily replicable, and an interested user can automate the process with relatively low effort or expense.

A retail investor in a cobweb of social networks

In this study, using AI, we empirically examine the irrational behaviour, specifically attention-driven trading and emotion-driven trading such as consensus trading, of retail investors in an emerging stock market. We used a neural network to assess the tone of messages on social media platforms and proposed a novel Hype indicator that integrates metrics of investor attention and sentiment. The sample of messages, which are written in Russian with slang expressions, was retrieved from a unique dataset of social network communication of investors in the Russian stock market. Applying different portfolio designs, we evaluated the effectiveness of the new Hype indicator against the factors of momentum, volatility, and trading volume. We found the possibility of building a profitable trading strategy based on the Hype indicator over a 6-month time horizon. Over short periods, the Hype indicator allows investors to earn more by buying stocks of large companies, and over «longer» periods, this indicator tends to perform better for illiquid stocks of small companies. As consensus trading tends to produce negative returns, the investment strategy of 'Go against the crowd' proves rewarding in the medium term of 3 months.

Do Twitter sentiments really effective on energy stocks? Evidence from the intercompany dependency

The study aims to examine the effects of social media activities on stock prices of the energy sector. In this respect, the sample covers the monthly period from 2015m6 to 2020m5 has been observed. Energy stocks as S&P 500 index (SP), stock market volatility index (VIX), trade-weighted USD index (USD), and Brent oil prices (OIL) have been used as independent variables. Accordingly, three different models have been created to analyze the link between returns, volatility and trading volume and Twitter sentiments by using Augmented Mean Group. As a result, we found that Twitter sentiment values have no significant impact on the returns and volatility of the companies. Tweets, on the other hand, appear to have a favorable impact on company trading volume values.

A Feature-Based Approach for Sentiment Quantification Using Machine Learning

Sentiment analysis has been one of the most active research areas in the past decade due to its vast applications. Sentiment quantification, a new research problem in this field, extends sentiment analysis from individual documents to an aggregated collection of documents. Sentiment analysis has been widely researched, but sentiment quantification has drawn less attention despite offering a greater potential to enhance current business intelligence systems. In this research, to perform sentiment quantification, a framework based on feature engineering is proposed to exploit diverse feature sets such as sentiment, content, and part of speech, as well as deep features including word2vec and GloVe. Different machine learning algorithms, including conventional, ensemble learners, and deep learning approaches, have been investigated on standard datasets of SemEval2016, SemEval2017, STS-Gold, and Sanders. The empirical-based results reveal the effectiveness of the proposed feature sets in the process of sentiment quantification when applied to machine learning algorithms. The results also reveal that the ensemble-based algorithm AdaBoost outperforms other conventional machine learning algorithms using a combination of proposed feature sets. The deep learning algorithm RNN, on the other hand, shows optimal results using word embedding-based features. This research has the potential to help diverse applications of sentiment quantification, including polling, trend analysis, automatic summarization, and rumor or fake news detection.