Social media bots and stock markets

Rui Fan; Oleksandr Talavera; Vu Tran

doi:10.1111/eufm.12245

Social media bots and stock markets

Rui Fan, Oleksandr Talavera, Vu Tran

Economics

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

317 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 language	English
Pages (from-to)	737-777
Number of pages	41
Journal	European Financial Management
Volume	26
Issue number	3
Early online date	10 Oct 2019
DOIs	https://doi.org/10.1111/eufm.12245
Publication status	E-pub ahead of print - 10 Oct 2019

Keywords

Social media bots
investor sentiment
noise traders
text classification
computational linguistics

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10.1111/eufm.12245Licence: None: All rights reserved

Fan_al_Social_media_bots_and_stock_markets_European_Financial_Management_2019
This is the peer reviewed version of the following article: Fan, R, Talavera, O, Tran, V. Social media bots and stock markets. Eur Financial Management. 2019; 1– 25. https://doi.org/10.1111/eufm.12245 , which has been published in final form at https://onlinelibrary.wiley.com/doi/full/10.1111/eufm.12245. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving
Accepted author manuscript, 1.56 MBLicence: Other (please specify with Rights Statement)

https://onlinelibrary.wiley.com/doi/abs/10.1111/eufm.12245Licence: None: All rights reserved

Cite this

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Social media bots and stock markets

Abstract

Keywords

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