Differential Emotions and the Stock Market - The Case of Company-Specific Trading

Marten Risius, Fabian Akolk, Roman Beck

Publikation: Konference artikel i Proceeding eller bog/rapport kapitelKonferencebidrag i proceedingsForskningpeer review


Practitioners and researchers alike increasingly use social media messages as an additional source of information to analyze stock price movements. In this regard, previous preliminary findings demonstrate the incremental value of considering the multi-dimensional structure of human emotions in sentiment analysis instead of the predominant assessment of the binary positive-negative valence of emotions. Therefore, based on emotion theory and an established sentiment lexicon, we develop and apply an open source dictionary for the analysis of seven different emotions (affection, happiness, satisfaction, fear, anger, depression, and contempt). To investigate the connection between the differential emotions and stock movements we analyze approximately 5.5 million Twitter messages on 33 S&P 100 companies and their respective NYSE stock prices from Yahoo!Finance over a period of three months. Subsequently, we conduct a lagged fixed-effects panel regression on the daily closing value differences. The results generally support the assumption of the necessity of considering a more differentiated sentiment. Moreover, comparing positive and negative valence, we find that only the average negative emotionality strength has a significant connection with company-specific stock price movements. The emotion specific analysis reveals that an increase in depression and happiness strength is associated with a significant decrease in company-specific stock prices.
TitelECIS 2015 Completed Research Papers : Proceedings of the 23rd European Conference on Information Systems (ECIS 2015); Muenster, Germany
ForlagAIS Electronic Library (AISeL)
ArtikelnummerPaper 147
ISBN (Trykt)978-3-00-050284-2
StatusUdgivet - 2015
Begivenhed23rd European Conference on Information Systems - Fürstenberghaus, Münster, Tyskland
Varighed: 3 jun. 20155 sep. 2015
Konferencens nummer: 23


Konference23rd European Conference on Information Systems


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