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Social media bots and stock markets

Fan, R., Talavera, O. and Tran, V. (2020) Social media bots and stock markets. European Financial Management, 26 (3). pp. 753-777. ISSN 1468-036X

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To link to this item DOI: 10.1111/eufm.12245

Abstract/Summary

This study examines the link between information spread by social media bots and stock trading. Based on a large sample of tweets mentioning 55 companies in the FTSE 100 composites, we find significant relations between bot tweets and stock returns, volatility, and trading volume at both daily and intraday levels. These results are also confirmed by an event study of stock response following abnormal increases in the volume of tweets. The findings are robust to various specifications, including controlling for traditional news channel, alternative measures of volatility, information flows in pretrading hours, and different measures of sentiment.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:88903
Publisher:Wiley

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