Emergent Sentiment in Financial Markets: Sentiment Flow from Social Media to Mass Media

Abstract

Mass media sentiment of financial news significantly influences investment decisions of investors. Hence, studying how this sentiment emerges is important. In years past this was straightforward, often dictated by journalists who cover financial news, but this has become more complex now. In this paper we focus on how social media sentiment affects mass media sentiment. Using data from Sina Weibo and Sina Finance (around 60 million weibos and 6.2 million news articles) we show that social media does influence mass media sentiment emergence for financial news. The sentiment consistency between social media reaction and prior news articles amplifies the persistence of mass media sentiment over time. By contrast, we found limited evidence of social media reducing the persistence of mass media sentiment over time. The results have significant implications for understanding how two types of media, treated separately in the literature, may be connected.