The objective of this research is to investigate the relationship between investor attention based on social media and financial market activity in terms of the Istanbul Stock Exchange (ISE). The main goal of the study is to reveal the direction and strength of the relationship between the number of tweets on Twitter and the trading volume for a relevant stock that is a constituent of the BIST 30 index. In this context, the period from 1 January 2020 to 31 December 2020 is examined, and the daily tweet and trading volume datasets are transformed into weekly frequency datasets by considering the ISE trading days. The collected data set has been analysed with unit root tests, causality analyses, and the AR(1) corrected Fixed Effects regression model. Results show a statistically significant, positive, and powerful relationship at the 1% significance level between the number of posted tweets and stock market trading volume, and also reveal unidirectional causality from trading volume to the number of tweets.
social media, investor attention, financial markets