Can social media marketing lead to abnormal portfolio returns?

Bank, Semra; Yazar, Evrim Erdogan; Sivri, Uğur

doi:10.1016/j.iedeen.2019.04.006

Cited by 16 publications

(13 citation statements)

References 37 publications

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“…On this concept, Fama (1970) emphasized that no one will have extraordinary returns. The evidence of Bank et al (2019) shows that even with the help of social media, in-vestors do not have the opportunity to obtain extraordinary returns. Fama (1970) also explained that the information contained in security refers explicitly to the expected returns, which are a function of the security risk.…”

Section: Literature Review and Hypothesesmentioning

confidence: 99%

Market efficiency and global issues: A case of Indonesia

Budiarso

Pontoh

2022

Investment Management and Financial Innovations

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The efficient market hypothesis assumes that the stock prices fully reflect all relevant information. Under the weak form, the future prices are independent of current prices or in the other words, they follow the random walk hypothesis. Global issues tend to have an impact on capital markets around the world. Therefore, the objective of this study is to assess the effect of global issues on the movements of expected returns in the Indonesian capital market from January 1, 2022, to June 30, 2022. The sample of 755 listed firms is used to test whether the expected returns have a random pattern during the observation period. The results of runs tests and variance ratio test show that the expected return movements are not random. On those results, the weak form of the efficient market hypothesis is rejected, and it can be concluded that the capital market in Indonesia for this period is inefficient. The findings of this study imply that the information about global issues does not affect the market. The success of the Indonesian government’s strategy in dealing with global issues (including the Covid-19 pandemic) in the form of a vaccination program and also followed by excellent fiscal and monetary policies has led to more predictable returns in the capital market. Moreover, investors can set their portfolios to get extraordinary returns as the market is more predictable.

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Section: Literature Review and Hypothesesmentioning

confidence: 99%

Market efficiency and global issues: A case of Indonesia

Budiarso

Pontoh

2022

Investment Management and Financial Innovations

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“…There are around 313 million active users of Twitter who interact with tweets in more than 40 languages. The influential role of Twitter has been revealed in various fields such as election results and political debates [33,34], academic communications [35], brand reputations [36], stock volatility, returns and volumes [18], and portfolio returns [19].…”

Section: Review Of the Literaturementioning

confidence: 99%

“…The existing literature often uses Pearson correlation coefficients [32,45,52] and beta coefficients of linear regression models [17,44,53] to examine the relationship between the financial market and investors' sentiments. Most of the existing literature indicates the positive relationship between social media and the financial market [17,32,44,52,54], but limited to certain aspects such as prices, returns, volatility or trading volume [17][18][19]32,37,[42][43][44][45]52,53].…”

Section: Review Of the Literaturementioning

confidence: 99%

“…Social media can be divided into six types [1]: Social networking sites, blogs and micro blogs, collaborative projects, virtual game worlds, content communities, and virtual communities. This categorization has contributed a great deal to expanding the literature of social media into diverse notable fields, such as polling estimation [2,3], tourism [4], medicine and healthcare [5,6], collaborative learning [7], social participation [8], sport [9], communication [10], organizing [11], recruiting/selection decisions [12], crisis event analysis [13][14][15], public-spending review [16], and stock market predictions related to returns, prices, volatility, and trading volume [17][18][19].…”

Section: Introductionmentioning

confidence: 99%

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Liquidity Risk and Investors’ Mood: Linking the Financial Market Liquidity to Sentiment Analysis through Twitter in the S&P500 Index

2019

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Microblogging services can enrich the information investors use to make financial decisions on the stock markets. As liquidity has immediate consequences for a trader’s movements, this risk is an attractive area of interest for both academics and those who participate in the financial markets. This paper focuses on market liquidity and studies the impact on liquidity and trading costs of the popular Twitter microblogging service. Sentiment analysis extracted from Twitter and different popular liquidity measures were gathered to analyze the relationship between liquidity and investors’ opinions. The results, based on the analysis of the S&P 500 Index, found that the investors’ mood had little influence on the spread of the index.

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“…The participation of companies in microblogging platforms can contribute to the development of valuable knowledge among investors (Prokofieva 2015), and increase the opportunity for significant returns (Bank et al 2019). Market liquidity is often reported to be priced into asset returns (Saleemi 2020).…”

Section: Introductionmentioning

confidence: 99%

Market Liquidity and Its Dimensions: Linking the Liquidity Dimensions to Sentiment Analysis through Microblogging Data

Guijarro

Clemente

Saleemi

2021

JRFM

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Market liquidity has an immediate impact on the execution of transactions in financial markets. Informed counterparty risk is often priced into market liquidity. This study investigates whether microblogging data, as a non-financial information tool, is priced along with market liquidity dimensions. The analysis is based on the Australian Securities Exchange (ASX), and from the results, we conclude that microblogging content in pessimistic periods has a higher impact on liquidity and its dimensions. On a daily basis, pessimistic investor sentiments lead to higher trading costs, illiquidity, a larger price dispersion and a lower trading volume.

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Can social media marketing lead to abnormal portfolio returns?

Cited by 16 publications

References 37 publications

Market efficiency and global issues: A case of Indonesia

Market efficiency and global issues: A case of Indonesia

Liquidity Risk and Investors’ Mood: Linking the Financial Market Liquidity to Sentiment Analysis through Twitter in the S&P500 Index

Market Liquidity and Its Dimensions: Linking the Liquidity Dimensions to Sentiment Analysis through Microblogging Data

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