Tweet Volume and Market Behavior – An Analysis of Tweets about Gold
Shannon (2014) examines the relationship between the volume of tweets about gold and daily gold price returns as well as daily gold price volatility from June 30 2012 to June 30 2014.
Tweets are obtained via Twitter’s API, which provided a random sample of tweets that were authored by a select group of about 150 tweeters. These tweeters included media sources such as The Wall Street Journal, financial blogs such as Seeking Alpha and financial market commentators such as Keith McCullough. All tweets that occur from the previous day after 15:00 GMT, Day 1, to those that occur before 15:00 GMT on the next day, Day 2, are considered contemporaneous with the gold price fixing of Day 2. The logic is that any thoughts expressed after 15:00 GMT would be discounted in the closing price the following day.
Shannon concludes that the change in tweet volumes was not a leading indicator of daily price returns. But the change in tweet volumes did show some indications of being a leading indicator of daily price volatility. The addition of weekend and holiday tweet volumes did not help predict either daily returns or volatility.