Emergent Sentiment in Financial Markets: Sentiment Flow from Social Media to Mass Media

49 Pages Posted: 12 Aug 2019

See all articles by Jie Ren

Jie Ren

Fordham University

Hang Dong

IE University

Balaji Padmanabhan

University of South Florida - College of Business Administration

Jeffrey V. Nickerson

Stevens Institute of Technology - School of Business

Date Written: August 8, 2019

Abstract

Over the past two decades, substantial research has established the importance of sentiment in financial markets. We know that sentiment impacts investor decisions; because of advanced text mining and sentiment analysis techniques, automated trading strategies based on sentiment are prevalent. However, we know little about how sentiment emerges. The news media, the markets, and social media are all understood to contribute to overall sentiment, but the exact mechanisms at play remain largely unknown. Understanding the mechanism of sentiment emergence is critical to build systems to support investors’ decision making and to ensure that markets function well and are resistant to attempts to manipulate sentiment. We studied one piece of the puzzle and examined sentiment flow from social media to mass media. We studied two years (2013 to 2014) of data from Sina Weibo and Sina Finance. After controlling for the direction of influence from mass media to social media and also for stock performance, we found that in the stock market, social media sentiment affects mass media sentiment the next day. Moreover, this impact is stronger for attention-grabbing stocks. The implications of these findings are discussed in relation to sentiment emergence and a broader demand-driven media bias perspective.

Keywords: sentiment flow, social media, mass media, the stock market, attention

Suggested Citation

Ren, Jie and Dong, Hang and Padmanabhan, Balaji and Nickerson, Jeffrey V., Emergent Sentiment in Financial Markets: Sentiment Flow from Social Media to Mass Media (August 8, 2019). Available at SSRN: https://ssrn.com/abstract=3434163 or http://dx.doi.org/10.2139/ssrn.3434163

Jie Ren (Contact Author)

Fordham University ( email )

Rose Hill Campus Bronx
New York, NY 10458
United States

Hang Dong

IE University ( email )

Calle Cardenal Zuñiga, 12.
Segovia, 40003
Spain

Balaji Padmanabhan

University of South Florida - College of Business Administration ( email )

4202 E. Fowler Avenue, BSN 3403
Tampa, FL 33620-5500
United States

Jeffrey V. Nickerson

Stevens Institute of Technology - School of Business ( email )

Hoboken, NJ 07030
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
63
Abstract Views
393
rank
389,211
PlumX Metrics