How mood affects the stock market: Empirical evidence from microblogs

Examining 22,504 tweets extracted from Sina Weibo, a microblog site, we identify two clusters of microblog users and study how they influence the stock market. Our research contributes the following significant findings to the existing literature. First, we discover that there exists an inverse U-shaped curve between stock return and the attention of both news media and investors. Second, we verify that news media attention plays a positive moderating effect in the relationship between investor attention and the stock return. Finally, we find that social interaction could positively moderate the effect of news media's and investor's sentiments on stock return.