Twitter Activity, Investor Attention, and the Diffusion of Information

69 Pages Posted: 1 Aug 2017 Last revised: 3 Oct 2018

See all articles by David A. Rakowski

David A. Rakowski

University of Texas at Arlington

Sara Shirley

Middle Tennessee State University

Jeffrey Stark

Middle Tennessee State University

Date Written: June 6, 2018

Abstract

Measures of information traditionally arise from curated, professional sources such as newspapers, analyst coverage, earnings announcements, and business news wires. We utilize Twitter activity to examine the impact of attention generated by individuals. Causal evidence shows that Twitter activity has a direct impact on trading volume in financial markets. Furthermore, increases in Twitter activity are associated with positive abnormal returns and, when occurring in conjunction with traditional information supply events, increase the diffusion of information to investors. Our results identify conditions under which attention generated by individuals drives price discovery and trading activity.

Keywords: Twitter, Investor Attention, Social Media, Behavioral Finance, Asset Pricing, Spread of Information

JEL Classification: G10, G12, G14, G23

Suggested Citation

Rakowski, David A. and Shirley, Sara and Stark, Jeffrey, Twitter Activity, Investor Attention, and the Diffusion of Information (June 6, 2018). Available at SSRN: https://ssrn.com/abstract=3010915 or http://dx.doi.org/10.2139/ssrn.3010915

David A. Rakowski

University of Texas at Arlington ( email )

Box 19449 UTA
Arlington, TX 76019
United States

Sara Shirley

Middle Tennessee State University ( email )

Murfreesboro, TN 37132
United States

Jeffrey Stark (Contact Author)

Middle Tennessee State University ( email )

Murfreesboro, TN
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
452
rank
59,977
Abstract Views
1,502
PlumX Metrics