Tone of market participants' opinions via social media and capital market reaction

Iranian Journal of Accounting, Auditing and Finance

مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 08 اردیبهشت 1401  

نوع مقاله: Original Article

شناسه دیجیتال (DOI): 10.22067/ijaaf.2022.75298.1109

نویسندگان

Monir Amirinasab¹؛ Alireza Mehrazeen ²؛ Abolghasem Masih Abadi³

¹Department of Accounting, Neyshabur Branch, Islamic Azad University, Neyshabur, Iran. ([e-mail])

²Department of Accounting, Neyshabur Branch, Islamic Azad University, Neyshabur, Iran. Corresponding Author ([e-mail])

³Department of Accounting, Sabzevar Branch, Islamic Azad University, Sabzevar, Iran. ([e-mail])

چکیده

The present study intends to test and analyze the tone of market participants' opinions via social media and capital market reaction.

We use a sample of 345 firm data from the list of S&P 500 firms, and analyze it using Stata software.

The results showed that there is not a significant relationship between the tone of earnings tweets and market variables. However, the results of separating the tweets into the original earnings tweets and existing earnings tweets indicated that there is a significant relationship between the tone of the original earnings tweets and abnormal share turnover. Findings also suggest that a significant relationship exists between the tone of existing earnings tweets and bid-ask spreads. Further analysis based on the separation of tweets into positive and negative demonstrated a significant relationship between the tone of positive and negative tweets and abnormal stock turnover and spreads.

In general, the results confirm that Twitter can be used as a source of complementary awareness in capital markets.

کلیدواژه‌ها

social media؛ twitter؛ capital market؛ earnings news؛ content analysis