Social media bots and stock markets
Year: 2019
Type: article
Abstract: This study examines the link between information spread by social media bots and stock trading. Based on a large sample of tweets mentioning 55 companies in the FTSE 100 composites, we find significant relations between bot tweets and stock returns, volatility, and trading volume at both daily and intraday levels. These results are also confirmed by an event study of stock response following abnormal increases in the volume of tweets. The findings are robust to various specifications, including controlling for traditional news channel, alternative measures of volatility, information flows in pretrading hours, and different measures of sentiment.
Source: European Financial Management
DOI: 10.1111/eufm.12245
Authors: Rui Fan, Oleksandr Talavera, Vu Tran
Institutions: Swansea University, University of Birmingham
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2806101982