The influence of social media on stock volatility

2017, Volume 4, Issue 2

Abstract

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Frontiers of Engineering Management >> 2017, Volume 4, Issue 2 doi: 10.15302/J-FEM-2017018

The influence of social media on stock volatility

School of Management, Harbin Institute of Technology, Harbin 150001, China

Accepted: 2017-07-06 Available online: 2017-07-17

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Abstract

This study explores the influence of social media on stock volatility and builds a feature model with an intelligence algorithm using social media data from Xueqiu.com in China, Sina Finance and Economics, Sina Microblog, and Oriental Fortune. We find that the effect of social factors, such as increased attention to a stock’s volatility, is more significant than public sentiment. A prediction model is introduced based on social factors and public sentiment to predict stock volatility. Our findings indicate that the influence of social media data on the next day’s volatility is more significant but declines over time.

Keywords

stock volatility ; social data ; sentiment analysis ; boosting algorithm

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