Nyakurukwa Kingstone, Seetharam Yudhvir
University of the Witwatersrand, School of Economics and Finance, Johannesburg, South Africa.
Heliyon. 2024 Apr 25;10(9):e30211. doi: 10.1016/j.heliyon.2024.e30211. eCollection 2024 May 15.
Motivated by the growing convergence between news media and social media as dominant sources of information dissemination, this study examines the connection between textual sentiment and stock returns. Previous studies have examined the effect of sentiment extracted from these two sources on stock returns independently, without modelling how one source can confound the relationship between stock returns and the other source. We investigate this using data from four markets (USA, UK, South Africa and Brazil) and a sample period stretching from January 2016 to April 2023. Employing a suite of methods that encompass both simple parametric techniques and complex models designed to address nonlinearity, chaos and deviations from normality, the analysis uncovers a pronounced impact of social media sentiment on stock returns in the United States. This influence overshadows the effect of news media sentiment across the employed methods. Interestingly, in other markets, news media exhibits a greater effect on stock returns compared to social media sentiment. By emphasising the convergence of news media and social media, the study highlights the important interplay between these sources, offering valuable insights into understanding the complex dynamics of modern financial markets.
受新闻媒体和社交媒体作为主要信息传播来源之间日益趋同的推动，本研究考察了文本情绪与股票回报之间的联系。以往的研究分别考察了从这两个来源提取的情绪对股票回报的影响，而没有对一个来源如何混淆股票回报与另一个来源之间的关系进行建模。我们使用来自四个市场（美国、英国、南非和巴西）的数据以及从2016年1月到2023年4月的样本期对此进行调查。通过采用一系列方法，包括简单的参数技术和旨在解决非线性、混沌和偏离正态性的复杂模型，分析发现社交媒体情绪对美国股票回报有显著影响。在所采用的方法中，这种影响超过了新闻媒体情绪的影响。有趣的是，在其他市场，新闻媒体对股票回报的影响比社交媒体情绪更大。通过强调新闻媒体和社交媒体的趋同，该研究突出了这些来源之间重要的相互作用，为理解现代金融市场的复杂动态提供了有价值的见解。
