Listening to the Buzz: Social Media Sentiment and Retail Depositors' Trust

43 Pages Posted: 17 Apr 2018

Date Written: February 27, 2018

Abstract

We investigate the relationship between the rumours on Twitter regarding banks and deposits growth. The sentiment expressed in tweets is analysed and employed for the nowcasting of retail deposits. We show that a Twitter-based indicator of sentiment improves the predictions of a standard benchmark model of depositor discipline based on financial data. We further improve the power of the model introducing a Twitter-based indicator of perceived interconnection, that takes into account spillover effects across banks.

Keywords: bank distress, twitter analytics, sentiment analysis

JEL Classification: G21, G28, E58

Suggested Citation

Accornero, Matteo and Moscatelli, Mirko, Listening to the Buzz: Social Media Sentiment and Retail Depositors' Trust (February 27, 2018). Bank of Italy Temi di Discussione (Working Paper) No. 1165. Available at SSRN: https://ssrn.com/abstract=3160570 or http://dx.doi.org/10.2139/ssrn.3160570

Matteo Accornero

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Mirko Moscatelli (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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