Study of Tweets’ Sentiment Impact on Stock Prices during Class Actions: An Application to Sports Companies

42 Pages Posted: 18 Aug 2020

See all articles by Karim Derouiche

Karim Derouiche

Université Paris Dauphine

Marius Frunza

Schwarzthal Tech; Schwarzthal Kapital

Date Written: July 16, 2020

Abstract

This article aims to study the link between Twitter announces and the stock prices of sports companies concerned with class actions. In many instances, news, announces, social media content affects the evolution of stock prices. The study focuses on companies from the sports sector due to their popularity and the consistent number of followers on social networks, which provide a sound basis of analysis, thereby making manipulation through hoaxes more difficult. The study encompasses the causality of tweets' sentiment on stock prices and the event study related to the period of class actions. The results analyze a sample of 7 listed companies in the sports industry.

Keywords: Class action, market abuse, financial crime, Sport sector, NLP, Tweets, Sentiment analysis, Granger causality, Event study

JEL Classification: G01

Suggested Citation

Derouiche, Karim and Frunza, Marius, Study of Tweets’ Sentiment Impact on Stock Prices during Class Actions: An Application to Sports Companies (July 16, 2020). Available at SSRN: https://ssrn.com/abstract=3653125 or http://dx.doi.org/10.2139/ssrn.3653125

Karim Derouiche

Université Paris Dauphine ( email )

Place du Maréchal de Tassigny
Paris, Cedex 16 75775
France

Marius Frunza (Contact Author)

Schwarzthal Tech ( email )

231b Business design Center
Upper Street
London, London N1 0QH
United Kingdom

HOME PAGE: http://www.schwarzthal.tech

Schwarzthal Kapital ( email )

34 quai de Dion Bouton
La Defense Puteaux, 92800
France

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