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r/wallstreetbets Influence on the Stock Market

Kinch, Gustaf LU and Tjernberg, Carl (2022) NEKH02 20221
Department of Economics
Abstract
This research aims to examine how much impact social media channels have on stock returns during unusual market events. We do this by measuring the sentiment and activity on the Reddit forum wallstreetbets (WSB) regarding some of the six most mentioned companies during the first four months of 2021 and connect this to their relative stock returns. The sentiment is derived through a sentiment analysis using financial dictionary analysis, capturing the sarcastic and sometimes difficult to interpret language used by the community. The sentiment is derived utilizing two financial dictionary analysis, VADER, a sentiment analysis tool designed specifically for social media, as well as our own constructed dictionary EMOJI, which is created to... (More)
This research aims to examine how much impact social media channels have on stock returns during unusual market events. We do this by measuring the sentiment and activity on the Reddit forum wallstreetbets (WSB) regarding some of the six most mentioned companies during the first four months of 2021 and connect this to their relative stock returns. The sentiment is derived through a sentiment analysis using financial dictionary analysis, capturing the sarcastic and sometimes difficult to interpret language used by the community. The sentiment is derived utilizing two financial dictionary analysis, VADER, a sentiment analysis tool designed specifically for social media, as well as our own constructed dictionary EMOJI, which is created to better analyze the emotions expressed on WSB. We collect the sentiment using Python, a high-level programming language, and empirically examine WSB effective predicting power on individual stock returns using a panel data regression. We come to the conclusion that we do not have enough significant values to draw any conclusions about how WSB influences the stock return. We, on the other hand, are capable of determining that our strategies of extracting the sentiment work differently, where EMOJI appears to be better at capturing the mood on WSB. We believe this strengthens our preconceptions about the tone on WSB and leave it for further research to proceed upon this. (Less)
Please use this url to cite or link to this publication:
author
Kinch, Gustaf LU and Tjernberg, Carl
supervisor
organization
alternative title
Sentiment Analysis on r/wallstreetbets during one of the loudest and most noticeable periods of financial debate on social media
course
NEKH02 20221
year
type
M2 - Bachelor Degree
subject
keywords
Reddit, wallstreetbets (WSB), Stock Return, Sentiment Analysis, Dictionary Analysis
language
English
id
9082927
date added to LUP
2022-10-10 09:06:04
date last changed
2022-10-10 09:06:04
@misc{9082927,
  abstract     = {{This research aims to examine how much impact social media channels have on stock returns during unusual market events. We do this by measuring the sentiment and activity on the Reddit forum wallstreetbets (WSB) regarding some of the six most mentioned companies during the first four months of 2021 and connect this to their relative stock returns. The sentiment is derived through a sentiment analysis using financial dictionary analysis, capturing the sarcastic and sometimes difficult to interpret language used by the community. The sentiment is derived utilizing two financial dictionary analysis, VADER, a sentiment analysis tool designed specifically for social media, as well as our own constructed dictionary EMOJI, which is created to better analyze the emotions expressed on WSB. We collect the sentiment using Python, a high-level programming language, and empirically examine WSB effective predicting power on individual stock returns using a panel data regression. We come to the conclusion that we do not have enough significant values to draw any conclusions about how WSB influences the stock return. We, on the other hand, are capable of determining that our strategies of extracting the sentiment work differently, where EMOJI appears to be better at capturing the mood on WSB. We believe this strengthens our preconceptions about the tone on WSB and leave it for further research to proceed upon this.}},
  author       = {{Kinch, Gustaf and Tjernberg, Carl}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{r/wallstreetbets Influence on the Stock Market}},
  year         = {{2022}},
}