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A longer-term evaluation of information releases by influential market agents and the semi-strong market efficiency

Agrrawal, Pankaj; Agarwal, Rajat - 2025

Persistent link: https://www.econbiz.de/10015357611

Social media and the stock markets : an emerging market perspective

Agarwal, Shweta; Kumar, Shailendra; Goel, Utkarsh - In: Journal of business economics and management 22 (2021) 6, pp. 1614-1632

index, for a period of 15 months. The results from the Granger-causalty tests indicate that the Twitter sentiments have a …

Persistent link: https://www.econbiz.de/10013257462

StockTwits classified sentiment and stock returns

Divernois, Marc-Aurèle; Filipović, Damir - 2021

We classify the sentiment of a large sample of StockTwits messages as bullish,bearish or neutral, and create a stock-aggregate daily sentiment polarity measure.Polarity is positively associated with contemporaneous stock returns. On average,polarity is not able to predict next-day stock returns....

Persistent link: https://www.econbiz.de/10012502172

Herding and investor sentiment after the cryptocurrency crash : evidence from Twitter and natural language processing

Cary, Michael - In: Financial innovation : FIN 10 (2024), pp. 1-23

crash differently compared to traditional investors? Using natural language processing techniques applied to Twitter data …

Persistent link: https://www.econbiz.de/10015361579

An agent-based model of financial market efficiency dynamics

El Oubani, Ahmed; Lekhal, Mostafa - In: Borsa Istanbul Review 22 (2022) 4, pp. 699-710

We build a parsimonious agent-based model under the adaptive market hypothesis (AMH), which can explain the formation of equilibrium prices and market efficiency dynamics. Our model combines heterogeneous interacting agents, switching behavior, and investor feedback on past realized returns,...

Persistent link: https://www.econbiz.de/10013334820

The impact of a takeover bid on the capital market efficiency

Knezovic, Anita; Culjak, Maria - In: UTMS journal of economics / University of Tourism and … 9 (2018) 2, pp. 109-120

The impact of the announcement of a takeover bid has been widely tested in foreign literature. Therefore, the main goal of this paper is to research the impact of the announcement of a takeover bid on the share price movements in the Croatian capital market and whether the results are consistent...

Persistent link: https://www.econbiz.de/10012178422

Central Bank Communication and Social Media : From Silence to Twitter

Romelli, Davide; Masciandaro, Donato; Peia, Oana - 2022

analyzing Twitter content by and about monetary policy makers can inform about the effectiveness of communication in influencing …

Persistent link: https://www.econbiz.de/10014238784

Tweeting on monetary policy and market sentiments : the Central Bank Surprise Index

Masciandaro, Donato; Romelli, Davide; Rubera, Gaia - 2020

. Market sentiment is proxied using a Twitter-based metric: theCentral Bank Surprise Index. The empirical study covers three …

Persistent link: https://www.econbiz.de/10012210744

Stock market reaction to inflation announcement in the Indian stock market : a sectoral analysis

Singh, Gurmeet; Padmakumari, Lakshmi - In: Cogent economics & finance 8 (2020) 1, pp. 1-22

This study investigates the reaction of stock returns to the inflation announcement using time series data from 2012 to 2018. To check the market efficiency or semi-strong efficiency of the Indian Stock Market for inflation announcement, we have used an event study methodology. We selected nine...

Persistent link: https://www.econbiz.de/10012219559

A modern take on market efficiency : the impact of Trump's tweets on financial markets

Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; … - 2021

most prominent Twitter users, the 45th President of the United States, Donald J. Trump. We analyze around 1,400 of his …, volatility, and trading volumes. Using high-frequency data, we find that Trump's tweets are most often a reaction to pre … market information can help predict Trump's decision to tweet about the economy. …

Persistent link: https://www.econbiz.de/10012508898