The power of social media: effects of CEO tweets on stock performance

Twitter's massive data has been intensively explored in the stock market research in recent years as it allows researchers to relate investor sentiment and investor attention to stock performance. However, narrowing down to celebrity-like CEOs, followed by millions, allows more insight to Twitter's usefulness when these CEOs tweet about their company or its products. This study focuses on the effects of such company-oriented tweets on CEOs' companies' stock performance and trading volume. More than 27,000 account-specific tweets are retrieved for 8 CEOs spanning to around 12 years. Event study analysis is performed for stock returns and trading volume change, as it is the most appropriate method used by researchers in similar studies. In the event of an aforementioned tweet, higher stock return volatility is observed in comparison to average volatility. Statistical tests reveal that stock returns and volumes are relatively higher for companies the next day of the said tweet, depicting a relationship between CEO's tweet content and stock performance of companies.