Social media bots and stock markets

Rui Fan, Oleksandr Talavera, Vu Tran

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)
148 Downloads (Pure)

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.

Original languageEnglish
Pages (from-to)737-777
Number of pages41
JournalEuropean Financial Management
Volume26
Issue number3
Early online date10 Oct 2019
DOIs
Publication statusE-pub ahead of print - 10 Oct 2019

Keywords

  • Social media bots
  • investor sentiment
  • noise traders
  • text classification
  • computational linguistics

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