On the Predictability of Stock Market Behavior Using StockTwits Sentiment and Posting Volume

  • Nuno Oliveira
  • Paulo Cortez
  • Nelson Areal
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 8154)


In this study, we explored data from StockTwits, a microblogging platform exclusively dedicated to the stock market. We produced several indicators and analyzed their value when predicting three market variables: returns, volatility and trading volume. For six major stocks, we measured posting volume and sentiment indicators. We advance on the previous studies on this subject by considering a large time period, using a robust forecasting exercise and performing a statistical test of forecasting ability. In contrast with previous studies, we find no evidence of return predictability using sentiment indicators, and of information content of posting volume for forecasting volatility. However, there is evidence that posting volume can improve the forecasts of trading volume, which is useful for measuring stock liquidity (e.g. assets easily sold).


Microblogging Data Returns Trading Volume Volatility Regression 


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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Nuno Oliveira
    • 1
  • Paulo Cortez
    • 1
  • Nelson Areal
    • 2
  1. 1.Centro Algoritmi/Dep. Information SystemsUniversity of MinhoGuimarãesPortugal
  2. 2.Department of Management, School of Economics and ManagementUniversity of MinhoBragaPortugal

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