What twitter can tell us about the stock market

Sama-Mohamed Hazem, Ehab K.A. Mohamed, Heba Ali

Resumen


The announcement of a certain event taking place may be important and impactful with regard to the stock market and share prices, even more than the effectiveness and significance of the event itself. The aim of this study is to analyze the effect of financial event announcements via social media, specifically Twitter, on share returns of stocks on the Financial Times Stock Exchange 100 Index. Our research questions were tested on a sample of 833 event observations retrieved from official Twitter accounts for two years (1 January 2014 - 16 February 2016).  The test was concerned with tracking stock return behavior on the event day (day 0), the pre-event window and the post-event window using the event-study methodology. This study found that there is a significant relationship between share prices and the events announced via Twitter, the type of tweets, news categories and tweeting intensity of the company involved. Classifying based on the industry of the announcing company had no significant relationship to stock return behavior.

Palabras clave


Twitter; Events announcements; Share prices; London Stock exchange (FTSE 100).

Referencias


Anderson-Weir, C. H. (2010), “How does the stock market react to corporate environmental news?”, Undergraduate Economic Review, Vol. 6 No.1, pp. 9.

Asamoah, G. N. (2010), “The impact of dividend announcement on share price behaviour in Ghana”, Journal of Business & Economics Research, Vol. 8 No. 4, pp. 47.

Auronen, L. (2003, May), “Asymmetric information: theory and applications”, in Seminar of Strategy and International Business, working paper, Department of Industrial Engineering and Management, Helsinki University of Technology, 21 May.

Beverley, L. (2008), “Stock market event studies and competition commission inquiries”, CCP Working Paper [08-16], University of East Anglia, August

Bhojraj, S., Lee, C., and Oler, D. K. (2003), “What's my line? A comparison of industry classification schemes for capital market research”, Journal of Accounting Research, Vol. 41 No.5, pp. 745-774.

Bikhchandani, S., and Sharma, S. (2001), “Herd Behavior in Financial Markets”, IMF Staff Papers, Vol. 47 No.3.

Birău, R. (2011), “Efficient capital market”, The Young Economists Journal, Vol. 9 No. 17, pp. 15-19.

Black, B. S., Berle, A. A., and Means, G. C. A. (1930), “Information Asymmetry”, Information Asymmetry and Agency Theory, pp. 415-462

Blankespoor, E., Miller, G. S., and White, H. D. (2013), “The role of dissemination in market liquidity: Evidence from firms' use of Twitter™”, The Accounting Review, Vol. 89 No. 1, pp. 79-112.

BliegeBird, R., Smith, E., Alvard, M., Chibnik, M., Cronk, L., Giordani, L., and Smith, E. (2005), “Signaling theory, strategic interaction, and symbolic capital 1”, Current anthropology, Vol. 46 No. 2, pp. 221-248.

Boortz, C., Jurkatis, S., Kremer, S., and Nautz, D. (2013), “Herding in financial markets: Bridging the gap between theory and evidence”, SFB 649 Discussion Paper [No. 2013-036].

Burke, C., Schultz, W., and Tobler, P. (2012), “Herding in Financial

Behaviour: A Behavioural and Neuroeconomic Analysis of Individual Differences”, working paper, Faculty of Economics, University of Cambridge.

Chan, L. K., Lakonishok, J., and Swaminathan, B. (2007), “Industry classifications and return comovement”, Financial Analysts Journal, Vol. 63 No. 6, pp. 56-70.

Chan, W. S. (2003), “Stock price reaction to news and no-news: Drift and reversal after headlines”, Journal of Financial Economics, Vol. 70 No. 2, pp. 223-260.

Cipriani, M., and Guarino, A. (2012), “Estimating a Structural Model of Herd Behavior in Financial Markets”.

Connelly, B. L., Certo, S. T., Ireland, R. D., and Reutzel, C. R. (2011), “Signaling theory: A review and assessment”, Journal of Management, Vol. 37 No. 1, pp. 39-67.

Cousin, J. G., and de Launois, T. (2006), “New Intensity and Conditional Volatility on the French Stock Market”, Finance, Vol. 27 No. 1, pp. 7-60.

Cuellar, B., Fuertes, Y., and LainezGadea, J. A. (2006), “The Market Valuation of Financial and Non-Financial News of Technological Firms”, working paper, Department of Accounting and Finance, University of Zaragoza, Spain.

Dimson, E., and Mussavian, M. (1998), “A brief history of market efficiency”, European financial management, Vol. 4 No. 1, pp. 91-103.

Dixit, R. P. (2011), “Banks: To Tweet or not to Tweet?”, The rise of social media in financial services – Balancing risk and reward, Bangalore, India, pp.37-45.

Dragota, V., and Oprea, D. S. (2014), “Informational efficiency tests on the Romanian stock market: a review of the literature”, The Review of Finance and Banking, Vol. 6 No. 1, pp. 15-28

Dulwich, E. (2006), “The impact news has upon stock price volatility. An investigation into the impact major BBC news reports have upon the FTSE 100”, MSc in Finance and International Business, Aarhus School of Business, December.

Fama, E. F. (1970), “Efficient capital markets: A review of theory and empirical work”, The Journal of Finance, Vol. 25 No. 2, pp. 383-417

Fischel, D. R. (1978), “Efficient Capital Market Theory, the Market for Corporate Control, and the Regulation of Cash Tender Offers”, Texas Law Review, Vol. 57 No. 1.

Geetha, E., and Swaaminathan, T. M. (2015), “A study on the factors influencing stock price A Comparative study of Automobile and Information Technology Industries stocks in India”, International Journal of Current Research and Academic Review, Vol. 3 No. 3, pp. 97-109.

Jayakumar, G. D. S., Thomas, B. J., and Ali, S. D. (2012), “Weak Form Efficiency: Indian Stock Market”, SCMS Journal of Indian Management, Vol. 9 No. 4, pp. 80.

Kadiyala, P., and Rau, P. R. (2004), “Investor Reaction to Corporate Event Announcements: Underreaction or Overreaction?”, Journal of Business, Vol. 77 No. 2, pp. 357-386.

Kotane, I. (2012), “The role of the analysis of financial and non-financial indicators in assessment of performance of the companies”, Management theory and studies for rural business and infrastructure development, Vol. 34 No. 5, pp. 93-104.

Kotane, I., and Kuzmina-Merlino, I. (2012), “Assessment of financial indicators for evaluation of business performance”, European integration studies, No. 6, pp. 216-224.

Kothari, S. P. (2001), “Capital markets research in accounting”, Journal of Accounting and Economics, Vol. 31 No. 1, pp. 105-231.

Marcel, B., Oran, T., and Otgon, C. (2010), “Information Asymmetry Theory in Corporate Governance Systems”, Annals of the University of Oradea, Economic Science Series, Vol. 19 No. 2, pp. 516-522.

McColgan, P. (2001), “Agency theory and corporate governance: a review of the literature from a UK perspective”, working paper, Department of Accounting and Finance, University of Strathclyde Glasgow, United Kingdom, 22 May.

Meek, G. K., Roberts, C. B., and Gray, S. J. (1995), “Factors influencing voluntary annual report disclosures by US, UK and continental European multinational corporations”, Journal of International Business Studies, Vol. 26 No. 3, pp. 555-572.

Merrill, T., Latham, K., Santalesa, R., and Navetta, D. (2011), “Social Media: The Business Benefits May Be Enormous, But Can the Risks -Reputational, Legal, Operational- Be Mitigated”, working paper [13], ACE Limited, April.

Mirić, A. A., and Petrović, M. (2013), “Managing Corporate Events and Job Satisfaction Among Young Professionals”, Journal for Theory and Practice Management, Vol. 66, pp. 19-26.

Neuhierl, A., Scherbina, A., and Schlusche, B. (2013), “Market reaction to corporate press releases”, Journal of Financial and Quantitative Analysis, Vol. 48 No. 04, pp. 1207-1240.

Nguyen, T. K. Y. (2011), “Efficient market and signaling hypothesis on Vietnam stock exchange 2006-2009”.

Phillips, P., and Louvieris, P. (2005), “Performance measurement systems in tourism, hospitality, and leisure small medium-sized enterprises: A balanced scorecard perspective”, Journal of Travel Research, Vol. 44 No. 2, pp. 201-211.

Rahman, A., and Debreceny, R. (2010), “Frequency of corporate announcements via stock exchange web sites and market efficiency”, Journal of Accounting, Auditing & Finance, Vol. 25 No. 3, pp. 457-490.

Rajamohan, S., and Muthukamu, M. (April, 2014), “Impact of Selective Corporate Events on Price Movements of Stocks of Bank Nifty Index”, Indian Journal of Applied Research, Vol. 4 No. 4, pp. 317-320.

Ramesh, S., and Nimalathasan, B. (2011), “Bonus issue announcement and its impact on share price of Colombo Stock Exchange in Sri Lanka”, in 8th International conference of Business Management, University of Jaffna, Sri Lanka.

Ranco, G., Aleksovski, D., Caldarelli, G., Grčar, M., and Mozetič, I. (2015), “The effects of Twitter sentiment on stock price returns”, PloS one, Vol. 10 No. 9.

Savolainen, V., and Davidsson, V. (2005), “Event Sponsorship-A Corporate Tool for Brand Positioning”, Masters Thesis, 2004.

Schweitzer, R. (1989), “How do stock returns react to special events”, Business Review, Vol. 8, pp. 17-29.

Sharif, T., Purohit, H., and Pillai, R. (2015), “Analysis of Factors Affecting Share Prices: The Case of Bahrain Stock Exchange”, International Journal of Economics and Finance, Vol. 7 No. 3, pp.207.

Sharma, R. (2011), “Stock Price Behaviour around Dividend Announcements: An Event Study Methodology”, Vilakshan: The XIMB Journal of Management, Vol. 8 No.2, pp. 23-32.

Sprenger, T. O., and Welpe, I. M. (2011), “News or noise? The stock market reaction to different types of company-specific news events”, 4 January.

Sprenger, T. O., and Welpe, I. M. (2011), “Tweets and peers: defining industry groups and strategic peers based on investor perceptions of stocks on Twitter”. Algorithmic Finance, Vol. 1 No. 1, pp. 57-76.

Stankevičienė, J., and Akelaitis, S. (2014), “Impact of Public Announcements on Stock Prices: the Example of Lithuanian Stock Market Considering Values of Stock Prices”, Economics & Business, Vol. 26, pp. 107-112.

Thoring, A. (2011), “Corporate tweeting: Analysing the use of Twitter as a marketing tool by UK trade publishers”, Publishing research quarterly, Vol. 27 No. (2), pp. 141-158.

Tucker, J., Guermat, C., and Prasert, S. (2013), “Short-run reaction to news announcements: UK evidence”. StudiaUniversitatis Babes-Bolyai, Vol. 58 No. 2, pp. 41.

Vardavaki, A., and Mylonakis, J. (2013), “How A Specific Market Announcement May Impact The Stock Price Value Of A Particular Firm–An Event Empirical Study”, Conflict Resolution & Negotiation Journal, Vol. 2013 No. 1, pp. 108-118.

Wang, X., and Wu, Y. (2013), “Asymmetric Reactions of Stock Market to Good and Bad News”.

Zhou, M., Lei, L., Wang, J., Fan, W., and Wang, A. G. (2014), “Social media adoption and corporate disclosure”, Journal of Information Systems, Vol. 29 No. 2, pp. 23-50.




DOI: http://dx.doi.org/10.12795/anduli.2019.i18.10

Enlaces refback

  • No hay ningún enlace refback.