Volatility Wisdom of Social Media Crowds

The Journal of Portfolio Management, Winter 2017, 43 (2) 136-151; DOI:10.3905/jpm.2017.43.2.136

Posted: 10 Jul 2020

See all articles by Ahmet K Karagozoglu

Ahmet K Karagozoglu

Hofstra University, Zarb School of Business; New York University (NYU) - Volatility and Risk Institute

Frank J. Fabozzi

EDHEC Business School

Date Written: 2017

Abstract

In this article, the authors provide new evidence on the usefulness of investor sentiment extracted from social media by taking advantage of a new data source covering a more comprehensive social media sphere. They use a unique dataset of social anomaly scores (SAS) to assess the volatility wisdom of crowds and develop trading strategies constructed using social-media-based market volatility sentiment. Using market prices of the VIX-related (CBOE Volatility Index) exchange-traded products, the authors find that these strategies economically outperform a benchmark, while taking into account commissions and management fees.

Keywords: investor sentiment, VIX, volatility

Suggested Citation

Karagozoglu, Ahmet K and Fabozzi, Frank J., Volatility Wisdom of Social Media Crowds (2017). The Journal of Portfolio Management, Winter 2017, 43 (2) 136-151; DOI:10.3905/jpm.2017.43.2.136, Available at SSRN: https://ssrn.com/abstract=3628739

Ahmet K Karagozoglu (Contact Author)

Hofstra University, Zarb School of Business ( email )

Department of Finance
148 Hofstra University
Hempstead, NY 11549-1480
United States
(516) 463-5701 (Phone)
(718) 701-8331 (Fax)

HOME PAGE: http://sites.hofstra.edu/ahmet-karagozoglu

New York University (NYU) - Volatility and Risk Institute ( email )

44 West 4th Street
New York, NY 10012
United States

Frank J. Fabozzi

EDHEC Business School ( email )

France
215 598-8924 (Phone)

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
83
PlumX Metrics