We also find this correlation gets stronger when returns are taken relative to the market. There is almost no correlation under any circumstances between non-financial news sources and price movements, however there is some correlation between financial news sentiment and stock price movements. Our results indicate that there is very limited correlation between Twitter sentiment and price movements and that this does not change much when returns are taken relative to the market or when the market is calm or turbulent.
In this paper we examine whether daily news sentiment of several companies and Twitter sentiment from their CEOs have an impact on their market performance and whether traditional news sources and Twitter activity of heads of government impact the benchmark indexes of major world economies over a period spanning the outbreak of the SAR-COV-2 pandemic.
Twitter has been responsible for some major stock market news in the recent past, from rogue CEOs damaging their company to very active world leaders asking for brand boycotts, but despite its impact Twitter has still not been as impactful on markets as traditional news sources.
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