Moods on the Move: Overnight Sentiment and the Intraday Return Dynamics

62 Pages Posted: 8 Aug 2022

See all articles by Baoqing Gan

Baoqing Gan

Ardea Investment Management; University of Technology Sydney

Vitali Alexeev

University of Technology Sydney

Danny Yeung

University of Technology Sydney (UTS); Financial Research Network (FIRN)

Abstract

Employing high-frequency sentiment metrics from texts in social and news media, we find that moods accrued during nontrading hours explain subsequent price behaviour of stocks at the market opening. We find stronger effects from social media compared with the news. We show that highly positive (negative) overnight tonality in social media results, on average, in 4.75% (-4.99%) excess returns annually. Equivalently, for the news, these figures are only 2.5% and -3.05%. The effect is not subsumed by previous day price performance, nor is it driven by fundamental news such as earnings announcements. Our findings, consistent across a number of model and parameter specifications, establish an unexplored link between overnight sentiment and the opening return.

Keywords: investor sentiment, Social Media, Overnight Return, High-frequency data, Thomson Reuters MarketPsych Indices (TRMI)

Suggested Citation

Gan, Baoqing and Alexeev, Vitali and Yeung, Danny, Moods on the Move: Overnight Sentiment and the Intraday Return Dynamics. Available at SSRN: https://ssrn.com/abstract=4184707

Baoqing Gan (Contact Author)

Ardea Investment Management ( email )

2/5 Martin Place
Sydney, NSW, 2000
Australia

University of Technology Sydney ( email )

14-28 Ultimo Rd, UTS Business School,
Ultimo, NSW
Sydney, NSW 2007
Australia
2217 (Fax)

Vitali Alexeev

University of Technology Sydney ( email )

UTS Business School
PO Box 123, Broadway
Sydney, NSW
Australia

HOME PAGE: http://valexeev.yolasite.com

Danny Yeung

University of Technology Sydney (UTS) ( email )

15 Broadway, Ultimo
PO Box 123
Sydney, NSW 2007
Australia

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
326
Abstract Views
1,022
Rank
841,826
PlumX Metrics