Social Media Content on Financial Markets

Juheng Zhang

Stocks are tweeted by investors and are traded in the markets with a potential interplay between daily stock price movements and social media content. We use four daily time-series variables: stock return, volatility, liquidity, and the volume of tweets to study the interdependences and comovements of social media content and stock performance. We find that the Granger causality relationship between the stock liquidity and the volume of tweets over stocks.