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The Effects of Twitter Sentiment on Stock Price Returns

Overview of attention for article published in PLOS ONE, September 2015
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About this Attention Score

  • In the top 5% of all research outputs scored by Altmetric
  • High Attention Score compared to outputs of the same age (98th percentile)
  • High Attention Score compared to outputs of the same age and source (97th percentile)

Mentioned by

news
7 news outlets
twitter
54 X users
wikipedia
1 Wikipedia page
googleplus
1 Google+ user
reddit
1 Redditor

Citations

dimensions_citation
267 Dimensions

Readers on

mendeley
578 Mendeley
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Title
The Effects of Twitter Sentiment on Stock Price Returns
Published in
PLOS ONE, September 2015
DOI 10.1371/journal.pone.0138441
Pubmed ID
Authors

Gabriele Ranco, Darko Aleksovski, Guido Caldarelli, Miha Grčar, Igor Mozetič

Abstract

Social media are increasingly reflecting and influencing behavior of other complex systems. In this paper we investigate the relations between a well-known micro-blogging platform Twitter and financial markets. In particular, we consider, in a period of 15 months, the Twitter volume and sentiment about the 30 stock companies that form the Dow Jones Industrial Average (DJIA) index. We find a relatively low Pearson correlation and Granger causality between the corresponding time series over the entire time period. However, we find a significant dependence between the Twitter sentiment and abnormal returns during the peaks of Twitter volume. This is valid not only for the expected Twitter volume peaks (e.g., quarterly announcements), but also for peaks corresponding to less obvious events. We formalize the procedure by adapting the well-known "event study" from economics and finance to the analysis of Twitter data. The procedure allows to automatically identify events as Twitter volume peaks, to compute the prevailing sentiment (positive or negative) expressed in tweets at these peaks, and finally to apply the "event study" methodology to relate them to stock returns. We show that sentiment polarity of Twitter peaks implies the direction of cumulative abnormal returns. The amount of cumulative abnormal returns is relatively low (about 1-2%), but the dependence is statistically significant for several days after the events.

X Demographics

X Demographics

The data shown below were collected from the profiles of 54 X users who shared this research output. Click here to find out more about how the information was compiled.
Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 578 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Switzerland 3 <1%
United States 3 <1%
Italy 1 <1%
Brazil 1 <1%
Spain 1 <1%
Slovenia 1 <1%
Japan 1 <1%
Luxembourg 1 <1%
Unknown 566 98%

Demographic breakdown

Readers by professional status Count As %
Student > Master 100 17%
Student > Ph. D. Student 82 14%
Student > Bachelor 72 12%
Researcher 42 7%
Student > Doctoral Student 34 6%
Other 80 14%
Unknown 168 29%
Readers by discipline Count As %
Economics, Econometrics and Finance 120 21%
Business, Management and Accounting 101 17%
Computer Science 85 15%
Engineering 29 5%
Social Sciences 15 3%
Other 41 7%
Unknown 187 32%
Attention Score in Context

Attention Score in Context

This research output has an Altmetric Attention Score of 103. This is our high-level measure of the quality and quantity of online attention that it has received. This Attention Score, as well as the ranking and number of research outputs shown below, was calculated when the research output was last mentioned on 17 September 2023.
All research outputs
#412,073
of 25,498,750 outputs
Outputs from PLOS ONE
#5,790
of 222,328 outputs
Outputs of similar age
#5,535
of 285,920 outputs
Outputs of similar age from PLOS ONE
#121
of 5,708 outputs
Altmetric has tracked 25,498,750 research outputs across all sources so far. Compared to these this one has done particularly well and is in the 98th percentile: it's in the top 5% of all research outputs ever tracked by Altmetric.
So far Altmetric has tracked 222,328 research outputs from this source. They typically receive a lot more attention than average, with a mean Attention Score of 15.8. This one has done particularly well, scoring higher than 97% of its peers.
Older research outputs will score higher simply because they've had more time to accumulate mentions. To account for age we can compare this Altmetric Attention Score to the 285,920 tracked outputs that were published within six weeks on either side of this one in any source. This one has done particularly well, scoring higher than 98% of its contemporaries.
We're also able to compare this research output to 5,708 others from the same source and published within six weeks on either side of this one. This one has done particularly well, scoring higher than 97% of its contemporaries.