Can Social Media Sentiment Predicts Futures Returns?

Posted: 24 Jan 2018

See all articles by Veelaiporn Promwichit

Veelaiporn Promwichit

University of Edinburgh, Business School

Arman Eshraghi

University of Edinburgh - Business School; Cardiff Business School

Ronan Gallagher

University of Edinburgh - Edinburgh Business School

Date Written: January 1, 2018

Abstract

We utilise tweets during trading hours and non-trading hours from StockTwits, an investment-based social media, to produce positive and negative sentiment measures. Then, we determine whether StockTwits sentiment could predict US index futures returns. We find positive sentiment from trading hours tweets could predict next day’s returns of S&P500 Futures, Emini S&P500 Futures, Emini Dow Futures and Emini NASDAQ100 Futures. A one percent increase in positive sentiment indicates a decrease of 0.054% in Emini NASDAQ100 Futures next day return and 0.044% in EMini Dow Futures next day return.

Keywords: social media sentiment, futures

JEL Classification: G02,G11

Suggested Citation

Promwichit, Veelaiporn and Eshraghi, Arman and Eshraghi, Arman and Gallagher, Ronan, Can Social Media Sentiment Predicts Futures Returns? (January 1, 2018). Available at SSRN: https://ssrn.com/abstract=3108467

Veelaiporn Promwichit (Contact Author)

University of Edinburgh, Business School ( email )

Edinburgh
United Kingdom

Arman Eshraghi

University of Edinburgh - Business School ( email )

University of Edinburgh
29 Buccleuch Place
Edinburgh, Scotland EH8 9JS
United Kingdom

Cardiff Business School ( email )

Colum Drive
Cardiff, CF10 3EU
United Kingdom

Ronan Gallagher

University of Edinburgh - Edinburgh Business School ( email )

29 Buccleuch Pl
Edinburgh, Scotland EH8 9JS
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
165
PlumX Metrics