Tweets versus broadsheets: Sentiment impact on stock markets around the world

Gan, B; Alexeev, V; Yeung, D

Tweets versus broadsheets: Sentiment impact on stock markets around the world

Gan, B

Alexeev, V Yeung, D

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Publisher:: Wiley
Publication Type:: Journal Article
Citation:: The Journal of Financial Research, 2024, 47, (3), pp. 601-633
Issue Date:: 2024

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Field	Value	Language
dc.contributor.author	Gan, B https://orcid.org/0000-0001-6903-0433
dc.contributor.author	Alexeev, V
dc.contributor.author	Yeung, D https://orcid.org/0000-0002-3032-0449
dc.date.accessioned	2024-09-09T03:20:29Z
dc.date.available	2024-09-09T03:20:29Z
dc.date.issued	2024
dc.identifier.citation	The Journal of Financial Research, 2024, 47, (3), pp. 601-633
dc.identifier.issn	0270-2592
dc.identifier.issn	1475-6803
dc.identifier.uri	http://hdl.handle.net/10453/180750
dc.description.abstract	We contrast sentiment derived from social and news media to investigate its impact across 14 international markets. We find that heightened media sentiment during nontrading periods significantly affects the next day's opening returns even after accounting for the previous-day activity. Markedly, only the US market exhibits strong reactions to social media, whereas other markets are more responsive to the news. We find that most variability in overnight returns is explained by sentiment aggregated 3 h before markets open. Our findings suggest that the overnight sentiment does not simply subsume previous-day market activity but contains additional information that helps improve predictability in return forecasting models.
dc.language	English
dc.publisher	Wiley
dc.relation.ispartof	The Journal of Financial Research
dc.relation.isbasedon	10.1111/jfir.12380
dc.rights	info:eu-repo/semantics/openAccess
dc.subject	1501 Accounting, Auditing and Accountability, 1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.subject.classification	3501 Accounting, auditing and accountability
dc.subject.classification	3502 Banking, finance and investment
dc.title	Tweets versus broadsheets: Sentiment impact on stock markets around the world
dc.type	Journal Article
utslib.citation.volume	47
utslib.for	1501 Accounting, Auditing and Accountability
utslib.for	1502 Banking, Finance and Investment
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
pubs.organisational-group	University of Technology Sydney/All Manual Groups
pubs.organisational-group	University of Technology Sydney/All Manual Groups/Centre for Business and Sustainable Development (CBSD)
pubs.organisational-group	University of Technology Sydney/All Manual Groups/Centre for Business and Sustainable Development (CBSD)/Associate Member
utslib.copyright.status	open_access	*
pubs.consider-herdc	true
dc.rights.license	This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND 4.0). To view a copy of this license, visit https://creativecommons.org/licenses/by-nc-nd/4.0/
dc.date.updated	2024-09-09T03:20:28Z
pubs.issue	3
pubs.publication-status	Published
pubs.volume	47
utslib.citation.issue	3

Abstract:

We contrast sentiment derived from social and news media to investigate its impact across 14 international markets. We find that heightened media sentiment during nontrading periods significantly affects the next day's opening returns even after accounting for the previous-day activity. Markedly, only the US market exhibits strong reactions to social media, whereas other markets are more responsive to the news. We find that most variability in overnight returns is explained by sentiment aggregated 3 h before markets open. Our findings suggest that the overnight sentiment does not simply subsume previous-day market activity but contains additional information that helps improve predictability in return forecasting models.

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http://hdl.handle.net/10453/180750