Decreasing Number of Messages about S&P 500 in Social Media indicates falling Stock Prices

For this research study we use messages collected in social media about the S&P 500 index. Based on our buzz indicator (communication intensity) we conducted an analysis on the effect of message volume on price movement of the S&P 500 future index. The period of our analysis ranges from January 1st, 2012 until February 2017. We analyzed 3.677.286 messages about the index in total over the entire time period. Our main sources for messages about the S&P 500 index are Twitter and Stocktwits, where users especially adapted the “Cash”-tag format to express their opinions about a stock market entity. We also collect messages from other social media channels such as forexfactory, where users talk about general market developments with effect on the S&P 500 and traditional news outlets. We aggregate messages on different time intervals. In this study we use an hourly aggregation level in order to obtain a significant amount of messages per time interval.

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