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Syed jawad hussain Shahzad, Elie Bouri and Román Ferrer
''Twitter sentiment and stock return volatility of US travel and leisure firms''
( 2023, Vol. 43 No.2 )
This paper examines the impact of firm-specific sentiment extracted from Twitter messages on the stock return volatility of US Travel & Leisure stocks. To this end, linear and nonlinear impulse response functions are estimated based on local projection techniques. We find that the return volatility of US Travel & Leisure firms increases in response to twitter messages in the short-term, particularly during periods of high uncertainty. Positive tweets have a stronger effect on stock return volatility than negative tweets, reflecting that positive Twitter sentiment has a clear incentive effect on retail investors in the US Travel & Leisure industry.
Keywords: Tourism, Twitter, stock volatility, impulse response function, nonlinearity
JEL: G1 - General Financial Markets
C1 - Econometric and Statistical Methods: General
Manuscript Received : May 23 2022 Manuscript Accepted : Jun 30 2023

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