The Twitter myth revisited: Intraday investor sentiment, Twitter activity and individual-level stock return volatility

Taking an intraday perspective, we study the dynamics of individual-level stock return volatility, measured by absolute 5-minute returns, and Twitter sentiment and activity. After accounting for the intraday periodicity in absolute returns, we discover some statistically significant co-movements of intraday volatility and information from stock-related Tweets for all constituents of the Dow Jones Industrial Average. However, economically, the effects are of negligible magnitude and out-of-sample forecast performance is not improved when including Twitter sentiment and activity as exogenous variables. From a practical point of view, we find that high-frequency Twitter information is not particularly useful for highly active investors with access to such data for intraday volatility assessment and forecasting when considering individual-level stocks. (C) 2018 Elsevier B.V. All rights reserved.