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

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