The causal relationship between social media sentiment and stock return: Experimental evidence from an online message forum

Wang，Xinjie1; Xiang，Zhiqiang1; Xu，Weike2; Yuan，Peixuan3

2022-07-01

10.1016/j.econlet.2022.110598

ECONOMICS LETTERS   影响因子和分区

0165-1765

1873-7374

This paper examines the impact of sentiment in an online message forum on stock returns. Using a novel controlled experiment, we collect a large panel of messages with no fundamental information but strong sentiment and stock return data. We find a significant causal effect of social media sentiment on the same-day stock returns. The sentiment has no significant effects on stock returns on subsequent days. This effect is mainly driven by messages with positive sentiment, which has a strong positive impact on stock returns. Our results establish a causal relationship between social media sentiment and stock returns and highlight the risk of market manipulation via social media.

Online message board Sentiment Stock return

SSCI

英语

第一 ; 通讯

National Natural Science Foundation of China[72171107];Southern University of Science and Technology[Y01246110];

Business & Economics

Economics

WOS:000922743800012

ELSEVIER SCIENCE SA

ECONOMICS BUSINESS

2-s2.0-85131518355

Scopus

1.Southern University of Science and Technology,Shenzhen,China
2.Clemson University,United States
3.Renmin University,Beijing,China

Wang，Xinjie,Xiang，Zhiqiang,Xu，Weike,et al. The causal relationship between social media sentiment and stock return: Experimental evidence from an online message forum[J]. ECONOMICS LETTERS,2022,216.

Wang，Xinjie,Xiang，Zhiqiang,Xu，Weike,&Yuan，Peixuan.(2022).The causal relationship between social media sentiment and stock return: Experimental evidence from an online message forum.ECONOMICS LETTERS,216.

Wang，Xinjie,et al."The causal relationship between social media sentiment and stock return: Experimental evidence from an online message forum".ECONOMICS LETTERS 216(2022).