The Possible Impact of Twitter Post Messages on Stock Market Activities
Öz
The purpose of this research is to contribute to the academic field by demonstrating the relationship
between stock related Twitter messages, their frequencies, sentiment analysis; stock return, volume, and
volatility of Dow Jones Index and BIST30 & BIST100 Index. In this study, The Multinomial Naive Bayes Text
Classifier is used as methodology since it is the most conventional method for text classification based on
previous research. Using computational linguistics methods, 138.070 English and 34.632 Turkish tweets have
been analyzed on a daily basis for a period of 8 months. The results demonstrated a strong relationship between
tweets and their impact on the market. Moreover, according to results, there is a positive correlation between
the number of retweets and BIST Volume lag-1 and lag+1. In addition, this article confirms that stock
microblogs contain valuable information for investors and it can be an assistance in predicting the future market
index.
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Referans 1
Antweiler, W., & Frank, Z. M. (2004), "Is All That Talk Just Noise? The Information Content of Internet
Stock Message Boards", Journal of Finance, 59(3): 1259–1294.
http://dx.doi.org/10.2139/ssrn.282320