Does social media X influence the stock market
Yufei Liu
Co-Presenters: Individual Presentation
College: College of Business and Public Management
Major: Finance
Faculty Research Mentor: Nazif Durmaz
Abstract:
Title: Does social media X influence the stock marketAuthor: Yufei Liu, Department of Finance, Kean UniversityAdvisor: Dr. Nazif DurmazAbstract:Social media platforms such as Twitter and Reddit have transformed the way financial information is shared and consumed, enabling real-time investor coordination and the emergence of phenomena like “meme stocks.” This study investigates the extent to which social media sentiment—measured via Twitter-based Economic Uncertainty (TEU) and Market Uncertainty (TMU) indices—affects stock market volatility in both the short and long term.Using monthly data from 2011 to 2025 for major U.S. stock indices (S&P, NASDAQ, NYSE, DJI, and small-cap indices), this research employs linear regression and an Autoregressive Distributed Lag (ARDL) model to analyze the predictive power of social media sentiment. The model integrates variables including the Consumer Price Index (CPI), interest rate (IR), and real exchange rate (REX), alongside indices derived from social media discourse.Findings indicate that TEU, TMU, and CPI significantly contribute to increased short-term market volatility, while TREND and INPT metrics contribute positively to market stability. In the long term, TEU maintains a persistent negative effect, and LIR shifts from a negative to a positive influence—suggesting market adaptation over time. CPI’s effect remains complex and cyclical.These results underscore the growing influence of digital platforms on investor sentiment and market dynamics, highlighting both the forecasting potential and regulatory risks posed by online discourse. Incorporating social media sentiment into market models may enhance prediction accuracy and assist policymakers in managing financial instability in an increasingly digitized economic environment.Keywords: Social Media, Stock Market Volatility, Investor Sentiment, Twitter Uncertainty Index, Financial Forecasting