Can Facebook Predict Stock Market Activity?

Yigitcan Karabulut

Rotterdam School of Management, Erasmus University (RSM); CEPR

August 13, 2013

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

Not Available For Download

Date posted: September 7, 2011 ; Last revised: August 19, 2014

Suggested Citation

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

Contact Information

Yigitcan Karabulut (Contact Author)
Rotterdam School of Management, Erasmus University (RSM) ( email )
HOME PAGE: http://https://sites.google.com/site/karabulutyc/home
CEPR ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Feedback to SSRN

Paper statistics
Abstract Views: 5,440