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Do Twitter sentiments really effective on energy stocks? Evidence from the intercompany dependency
Emrah Sitki Yilmaz1, Asli Ozpolat2, Mehmet Akif Destek3
1Department of Accounting and Tax Applications, Gaziantep University, Gaziantep, Turkey.
Abstract:
The study aims to examine the effects of social media activities on stock prices of the energy sector. In this respect, the sample covers the monthly period from 2015m6 to 2020m5 has been observed. Energy stocks as S&P 500 index (SP), stock market volatility index (VIX), trade-weighted USD index (USD), and Brent oil prices (OIL) have been used as independent variables. Accordingly, three different models have been created to analyze the link between returns, volatility and trading volume and Twitter sentiments by using Augmented Mean Group. As a result, we found that Twitter sentiment values have no significant impact on the returns and volatility of the companies. Tweets, on the other hand, appear to have a favorable impact on company trading volume values.
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