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

Marten Risius, Fabian Akolk, Roman Beck

Research output: Conference Article in Proceeding or Book/Report chapterArticle in proceedingsResearchpeer-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.
Original languageEnglish
Title of host publicationECIS 2015 Completed Research Papers : Proceedings of the 23rd European Conference on Information Systems (ECIS 2015); Muenster, Germany
PublisherAIS Electronic Library (AISeL)
Publication date2015
Article numberPaper 147
ISBN (Print)978-3-00-050284-2
Publication statusPublished - 2015
Event23rd European Conference on Information Systems - Fürstenberghaus, Münster, Germany
Duration: 3 Jun 20155 Sept 2015
Conference number: 23


Conference23rd European Conference on Information Systems
Internet address


  • Social Media
  • Stock Price Movements
  • Sentiment Analysis
  • Emotion Theory
  • Twitter Messages
  • 最新评论


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