Can Social Media Sentiment Predicts Futures Returns?
Posted: 24 Jan 2018
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
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