Social media bots and stock markets
This study examines whether stock indicators are affected by information in social media such as Twitter. Using a daily sample of tweets with a FTSE 100 firm name over two years, we find insignificant associations between tweets/bot tweets and stock returns whereas there is a strongly significant association with volatility and trading volume. Using a high frequency sample, we detect a positive (negative) impact of tweets (bot tweets) on stock returns. The impact of bot tweets vanishes within 30 minutes. The results for volatility and trading volume are consistent with the daily data analysis. In addition, event study reveals a bounce back pattern of price reactions in response to negative retweets. Abnormal increases in tweets/bottweets have significant effects on stock volatility, trading volume and liquidity.
European Financial Management