Sensitivity to sentiment: News vs social media

Gan, B; Alexeev, V; Bird, R; Yeung, D

Sensitivity to sentiment: News vs social media

Gan, B

Alexeev, V

Bird, R Yeung, D

Permalink

Publication Type:: Journal Article
Citation:: International Review of Financial Analysis, 2020, 67
Issue Date:: 2020-01-01

Open Access

Copyright Clearance Process

Recently Added
In Progress
Open Access

This item is open access.

The embargo period expires on 14 Sep 2021

Adobe PDF

Download Accepted ManuscriptAdobe PDF (5.61 MB)

View on publisher's site

View statistics

Full metadata record

Field	Value	Language
dc.contributor.author	Gan, B https://orcid.org/0000-0001-6903-0433	en_US
dc.contributor.author	Alexeev, V https://orcid.org/0000-0003-3092-2500	en_US
dc.contributor.author	Bird, R	en_US
dc.contributor.author	Yeung, D https://orcid.org/0000-0002-3032-0449	en_US
dc.date.issued	2020-01-01	en_US
dc.identifier.citation	International Review of Financial Analysis, 2020, 67	en_US
dc.identifier.issn	1057-5219	en_US
dc.identifier.uri	http://hdl.handle.net/10453/135915
dc.description.abstract	© 2019 We explore the rapidly changing social and news media landscape that is responsible for the dissemination of information vital to the efficient functioning of the financial markets. Using the sheer volume of social and news media activity, commonly known as buzz, we document three distinct regimes. We find that between 2011 and 2013 the news media coverage stimulates activity in social media. This is followed by a transition period of two-way causality. From 2016, however, changes in levels of social media activity seem to lead and generate news coverage volumes. We uncover similar evolution of lead-lag pattern between sentiment measures constructed from the tonality contained in textual data from social and news media posts. We discover that market variables exert stronger impact on investor sentiment than the other way around. We also find that return responses to social media sentiment almost doubled after the transition period, while return responses to news-based sentiment almost halved to its pre-transition level. The linkage between volatility and sentiment is much more persistent than that between returns and sentiment. Overall, our results suggest that social media is becoming the dominant media source.	en_US
dc.relation.ispartof	International Review of Financial Analysis	en_US
dc.relation.isbasedon	10.1016/j.irfa.2019.101390	en_US
dc.rights	info:eu-repo/semantics/embargoedAccess
dc.subject.classification	Finance	en_US
dc.title	Sensitivity to sentiment: News vs social media	en_US
dc.type	Journal Article
utslib.citation.volume	67	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1801 Law	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	open_access	*
utslib.copyright.embargo	2021-09-14T00:00:00+1000
pubs.publication-status	Published	en_US
pubs.volume	67	en_US

Abstract:

© 2019 We explore the rapidly changing social and news media landscape that is responsible for the dissemination of information vital to the efficient functioning of the financial markets. Using the sheer volume of social and news media activity, commonly known as buzz, we document three distinct regimes. We find that between 2011 and 2013 the news media coverage stimulates activity in social media. This is followed by a transition period of two-way causality. From 2016, however, changes in levels of social media activity seem to lead and generate news coverage volumes. We uncover similar evolution of lead-lag pattern between sentiment measures constructed from the tonality contained in textual data from social and news media posts. We discover that market variables exert stronger impact on investor sentiment than the other way around. We also find that return responses to social media sentiment almost doubled after the transition period, while return responses to news-based sentiment almost halved to its pre-transition level. The linkage between volatility and sentiment is much more persistent than that between returns and sentiment. Overall, our results suggest that social media is becoming the dominant media source.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/135915