Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
11029787 | Journal of Banking & Finance | 2018 | 32 Pages |
Abstract
Taking an intraday perspective, we study the dynamics of individual-level stock return volatility, measured by absolute 5-minute returns, and Twitter sentiment and activity. After accounting for the intraday periodicity in absolute returns, we discover some statistically significant co-movements of intraday volatility and information from stock-related Tweets for all constituents of the Dow Jones Industrial Average. However, economically, the effects are of negligible magnitude and out-of-sample forecast performance is not improved when including Twitter sentiment and activity as exogenous variables. From a practical point of view, we find that high-frequency Twitter information is not particularly useful for highly active investors with access to such data for intraday volatility assessment and forecasting when considering individual-level stocks.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Simon Behrendt, Alexander Schmidt,