CEU Electronic Theses and Dissertations, 2020
| Author | Gadyan, Gayane |
|---|---|
| Title | The Impact of Twitter News on Stock Price Returns |
| Summary | This study aims at establishing whether the spikes in the Twitter activity of the US 116th Congress representatives mentioning a certain company’s name signify abnormal returns for the mentioned firm’s stock price. The scraped Twitter dataset is used for the identification of the event days, while the rest of the analysis is performed on the stock price return dataset. The results of the conducted event study reveal that the effect of Twitter news on the stock price returns is inconsistent, as the abnormal returns for the identified events are not significant across all the chosen companies. However, a closer look at the sentiment expressed the days before and after the events reveals that whenever the sentiment of the tweets is consistently negative or positive the days around the event, the abnormal returns are found to be statistically significant and mainly correspond to the sign of the sentiment. |
| Supervisor | Muço, Arieda |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2020/gadyan_gayane.pdf |
Visit the CEU Library.
© 2007-2021, Central European University