SOCIAL MEDIA SENTIMENT AND STOCK MARKET VOLATILITY: EVIDENCE FROM THE US HI-TECH COMPANIES

Purpose: This study aims to investigate the effects of social media sentiment, measured by Twitter-based uncertainty index, on the stock market volatility of the US technology companies. Design/methodology/approach: Methodologically, we employ the quantile regression model. Our findings reveal that the volatility of Amazon, Apple, Google and IBM stocks are sensitive to the variations in twitter-based economic and market uncertainties (i.e., TEU and TMU indexes). Findings: We observe significant influences at both lower and upper quantiles. Thus, for both high and low volatility regimes, the information on twitter-based uncertainty indexes can be used to predict the market volatility of these leading hi-tech companies. Moreover, TEU and TMU indexes exert positive effects on the stock price implied volatility implying that the variance of these technology firms experiences an upward trend as the social media uncertainty rises. Originality/value: While numerous studies have focused on the influence of social media (e.g., Facebook, twitter etc.) on investment strategies, the impact of twitter sentiments on the risk linked to hi-tech firms remains understudied. Hence, investors participating in the technology sectors could use our findings for managing portfolio risk.