Are option traders more informed than Twitter users? A PVAR analysis

• Prior research has examined whether Twitter information predicts stock returns and volatility. We study the causality between Twitter information, stock‐realized volatility, and option‐implied volatility using a panel vector autoregressive model. Using panel data on S&P/ASX 200 stocks, we reveal a bidirectional causalitybetween realized volatility and Twitter activity and divergence of opinion. We alsofind strong evidence of causality from implied idiosyncratic volatility to Twitter activity, sentiment, and divergence of opinion. Our results highlight the role of theoptions market in predicting Twitter information and monitoring social mediaflows to prevent the spread of fake news.

Ämnesord

SAMHÄLLSVETENSKAP  -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)

SOCIAL SCIENCES  -- Economics and Business -- Economics (hsv//eng)

Nyckelord

implied volatility

realized volatility

social media

Twitter

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)