Social Media-Based Forecasting: A Case Study of Tweets and Stock Prices in the Financial Services Industry

Social media-based forecasting has received significant attention from academia and industries in recent years. With a focus on Twitter, this paper investigates whether sentiments of the tweets regarding the 7 largest US financial service companies (in U.S. dollars) are related to the stock price changes of these companies. The authors’ findings indicate, in the financial services context, negative sentiments predict firms’ future stock prices. However, the number of and the positive sentiment of tweets are not correlated with stock prices. The findings of this paper suggest the possible predictive value of social media data on stock prices at the company level. KEywORdS Forecasting, Sentiment Analysis, Social Media, Stock Market, Twitter