Electronic Resource

Article - Social Media Sentiment, Investor Herding and Informational Efficiency Agustus 2023 41-45 halaman

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We examine the impact of social media sentiment on the informational efficiency of financial
markets. Specifically, we explore the relationship between sentiment extracted from Twitter
posts and two commonly used measures of efficiency: return autocorrelation and variance ratio.
Our findings reveal that higher sentiment leads to higher return autocorrelation and variance
ratio the following day, indicating a decrease in informational efficiency. We also demonstrate
that the impact of social media sentiment on informational efficiency stems from the emergence
of herding behaviors among traders, with higher sentiment leading to heightened herding
activity. Our findings support the notion that higher social media sentiment contributes to a
decline in the quality of the information environment, resulting in informationally inefficient
equity prices.

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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

332.642 YAN s

Penerbit

: Wiley Online Library., 2023

Deskripsi Fisik

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Bahasa

English

ISBN/ISSN

1475-6803

Klasifikasi

332.642 YAN s

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

2023 41-45 halaman

Subjek

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Info Detail Spesifik

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Pernyataan Tanggungjawab

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Versi lain/terkait

Lampiran Berkas

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