The Interaction between Microblog Sentiment and Stock Return: An Empirical Examination

MIS quarterly 42(3): 895-918.

67 Pages Posted: 18 Oct 2017 Last revised: 16 Sep 2018

See all articles by Shuyuan Deng

Shuyuan Deng

Grand Valley State University - Seidman College of Business

Zhijian (James) Huang

Rochester Institute of Technology (RIT) - Department of Accounting and Finance

Atish P Sinha

University of Wisconsin - Milwaukee - Sheldon B. Lubar School of Business

Huimin Zhao

University of Wisconsin - Milwaukee - Sheldon B. Lubar School of Business

Date Written: September 1, 2018

Abstract

Opinion mining of microblog messages has become a popular application of business analytics in recent times. Opinions reflected in microblogs have provided businesses with great opportunities to acquire insights into their operating environments in real time. In particular, the relationship between microblog sentiment and stock return is of great interest to investment professionals and academic researchers across multiple disciplines. We empirically test this complex relationship in a comprehensive study. We perform vector autoregression on a data set containing close to 18 million microblog messages spanning four years at the market and the individual stock levels, and at the daily and the hourly frequencies. The results show that the influence of microblog sentiment on stock return is both statistically and economically significant at the hour level. Microblog sentiment is also largely driven by movement in the market. Moreover, stock return has a stronger influence on negative sentiment than on positive sentiment. These findings have important implications for both research and practice.

Keywords: social media, microblog, stock return, vector autoregression, big data, sentiment analysis

Suggested Citation

Deng, Shuyuan and Huang, Zhijian and Sinha, Atish P and Zhao, Huimin, The Interaction between Microblog Sentiment and Stock Return: An Empirical Examination (September 1, 2018). MIS quarterly 42(3): 895-918.. Available at SSRN: https://ssrn.com/abstract=3054906

Shuyuan Deng (Contact Author)

Grand Valley State University - Seidman College of Business ( email )

Grand Rapids, MI 49504
United States

Zhijian Huang

Rochester Institute of Technology (RIT) - Department of Accounting and Finance ( email )

College of Business
105 Lomb Memorial Drive
Rochester, NY 14623-5608
United States

Atish P Sinha

University of Wisconsin - Milwaukee - Sheldon B. Lubar School of Business ( email )

P.O. Box 742
3202 N. Maryland Ave.
Milwaukee, WI 53201-0742
United States

Huimin Zhao

University of Wisconsin - Milwaukee - Sheldon B. Lubar School of Business ( email )

P.O. Box 742
3202 N. Maryland Ave.
Milwaukee, WI 53201-0742
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
487
Abstract Views
1,323
rank
56,522
PlumX Metrics