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Is microblogging data reflected in stock market volatility? Evidence from Sina Weibo
16 references·0 citing·49 second hop
Is microblogging data reflected in stock market volatility? Evidence from Sina Weibo (2019)Is microblogging data reflected in stock …The Twitter myth revisited: Intraday investor sentiment, Twitter activity and individual-level stock return volatility (2018)The Twitter myth revisited: I…The convergence and divergence of investors' opinions around earnings news: Evidence from a social network (2018)The convergence and divergenc…Twitter's daily happiness sentiment and the predictability of stock returns (2017)Twitter's daily happiness sen…More than just Noise? Examining the Information Content of Stock Microblogs on Financial Markets (2017)More than just Noise? Examini…Daily happiness and stock returns: The case of Chinese company listed in the United States (2017)Daily happiness and stock ret…Can Twitter Help Predict Firm-Level Earnings and Stock Returns? (2017)Can Twitter Help Predict Firm…Forecasting Volatility with Empirical Similarity and Google Trends (2015)Forecasting Volatility with E…Forecasting volatility with empirical similarity and Google Trends (2015)Forecasting volatility with e…Can Internet Search Queries Help to Predict Stock Market Volatility? (2015)Can Internet Search Queries H…Investor Attention and Stock Market Volatility (2014)Investor Attention and Stock …The cross-correlations of stock markets based on DCCA and time-delay DCCA (2011)The cross-correlations of sto…In Search of Attention (2011)In Search of AttentionDetrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…A new statistic and practical guidelines for nonparametric Granger causality testing (2006)A new statistic and practical…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Information, trading, and volatility (1994)Information, trading, and vol…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Market Liquidity and Trading Activity (2001)Fractional Differencing (1981)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Cross-correlations between volume change and price change (2009)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Asset Prices in an Exchange Economy (1978)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010)The impact of sentiment and attention measures on stock market volatility (2019)Corporate Sociopolitical Activism and Firm Value (2020)The Behavior of Stock-Market Prices (1965)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Public information releases, private information arrival and volatility in the foreign exchange market (1997)The Price Impact of Institutional Trading (2001)Market structure, fragmentation, and market quality (2006)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Googling Fashion: Forecasting Fashion Consumer Behaviour Using Google Trends (2019)Application of Artificial Intelligence in Stock Market Forecasting: A Critique, Review, and Research Agenda (2021)Feverish sentiment and global equity markets during the COVID-19 pandemic (2021)A test for independence based on the correlation dimension (1996)Causality detection based on information-theoretic approaches in time series analysis (2007)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Noise Trader Risk in Financial Markets (1990)Comparing Predictive Accuracy (1994)Forecasting sales in the supply chain: Consumer analytics in the big data era (2018)What can explain the price, volatility and trading volume of Bitcoin? 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References

  • 2011In Search of Attention3,088 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 cited
  • 2006A new statistic and practical guidelines for nonparametric Granger causality testing962 cited
  • 2017Can Twitter Help Predict Firm-Level Earnings and Stock Returns?606 cited
  • 2014Investor Attention and Stock Market Volatility569 cited
  • 2015Can Internet Search Queries Help to Predict Stock Market Volatility?350 cited
  • 1994Information, trading, and volatility176 cited
  • 2018The Twitter myth revisited: Intraday investor sentiment, Twitter activity and individual-level stock return volatility138 cited
  • 2015Forecasting volatility with empirical similarity and Google Trends120 cited
  • 2018The convergence and divergence of investors' opinions around earnings news: Evidence from a social network118 cited
  • 2011The cross-correlations of stock markets based on DCCA and time-delay DCCA97 cited
  • 2017Twitter's daily happiness sentiment and the predictability of stock returns82 cited
  • 2017Daily happiness and stock returns: The case of Chinese company listed in the United States75 cited

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  • 2017More than just Noise? Examining the Information Content of Stock Microblogs on Financial Markets74 cited
  • 2015Forecasting Volatility with Empirical Similarity and Google Trends73 cited
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