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The Relationship Between Twitter Mentions & Stock Volatility During Trading Hours

The rise of social media and the “retail investor” has completely shifted the investing landscape. A new paradigm has been created where people have easier access than ever to invest in the stock market from the convenience of their phones. This is accomplished through zero-commission trading apps, like Robinhood, meaning less starting capital is required. This research is used to investigate the relationship between the frequency of social media mentions on Twitter and a particular stock’s volatility. It is hypothesized that Twitter mentions will affect stock volatility. This will be done using the qualitative data analyzing tool AtlasTi to calculate the frequency in which a particular stock ticker is mentioned on Twitter during trading hours. Using AtlasTi, the number of mentions for twenty-eight individual stocks was monitored twice a day for twenty total trading days, or approximately one month. This resulted in forty individual time frames of data, or 1,120 total data points. The volatility of the stock will then be calculated using data from Yahoo! Finance. Using panel data analysis, the number of stock mentions on Twitter will be cross-checked with the volatility of the correlating stock under the same time period to evaluate the relationship between the two variables. While our final analysis has not yet been calculated, it is expected that our results will show a relationship between heavily mentioned stocks and increased volatility. It is intended that our research will aid future investors when making decisions on how to invest in assets heavily mentioned on social media.

Identiferoai:union.ndltd.org:ETSU/oai:dc.etsu.edu:asrf-1987
Date06 April 2022
CreatorsDay, Connor
PublisherDigital Commons @ East Tennessee State University
Source SetsEast Tennessee State University
Detected LanguageEnglish
Typetext
SourceAppalachian Student Research Forum & Jay S. Boland Undergraduate Research Symposium

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