Abstract

http://ssrn.com/abstract=1919008
 


 



Can Facebook Predict Stock Market Activity?


Yigitcan Karabulut


Goethe University Frankfurt

August 13, 2013


Abstract:     
Using a novel and direct measure of investor sentiment, I find that Facebook's Gross National Happiness (GNH) has the ability to predict changes in both daily returns and trading volume in the US stock market. For instance, an increase of one standard deviation in GNH is associated with an increase of 11.23 basis points in market returns over the next day. Consistent with noise trader models, the influence of GNH on market returns is temporary and is reversed during the following trading weeks. I also verify the empirical validity of GNH by performing several tests in different natural settings.

Keywords: Investor sentiment, social media, behavioral finance, Facebook, social networks

JEL Classification: D81, G11, G12

working papers series


Not Available For Download

Date posted: September 7, 2011 ; Last revised: September 3, 2013

Suggested Citation

Karabulut, Yigitcan, Can Facebook Predict Stock Market Activity? (August 13, 2013). Available at SSRN: http://ssrn.com/abstract=1919008

Contact Information

Yigitcan Karabulut (Contact Author)
Goethe University Frankfurt ( email )
Grüneburgplatz 1
Frankfurt am Main, 60323
Germany
Feedback to SSRN


Paper statistics
Abstract Views: 4,379

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo8 in 0.718 seconds