Macquarie University
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Do online investor attention and sentiment drive OIV? (evidence from Australia and the U.S.)

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posted on 2023-10-25, 03:24 authored by Ross Hosmann

The selective focus of investors on explicit aspects of information associated with a stock, and their optimism or pessimism about stocks are respectively known in the literature as ‘investor attention’ and ‘investor sentiment’. This dissertation examines how investor attention and sentiment derived from the content and activity of social and news media interact with financial markets and the key measures of the stock price variability. More explicitly, it examines their relationships with the stock volatility implied by the options market (OIV), prior to price sensitive unscheduled company announcements.  

The extant literature documents that OIV is an important and instantaneously observable predictor of future stock volatility used by market practitioners as a de facto measure of stock risk. However, the research examining its relationship with online attention and sentiment around shut down in April 2015, unscheduled company announcements has been scarce, a research gap addressed in this thesis. Furthermore, the way in which information is communicated to the wider market can significantly impact investor insights due to the vast amount of available information, investors limited attention and the limits of their information processing power. It can also affect the interplay between online attention and sentiment, and OIV. Therefore, the empirical studies of thesis are conducted in the Australian market characterised by a strict statutory continuous disclosure regime, and the U.S. market, which does not employ such a strict disclosure framework.  

The thesis is structured as follows. The introduction outlines the motivation, a review of the literature review, and the research context. This is followed by empirical studies focused on the contemporaneous and dynamic relationship between Twitter and news activity (‘buzz’), and OIV in the Australian financial market, which are subsequently extended to the U.S. market. The empirical research concludes through a study of the relationship between the buzz and sentiment of social and traditional news media, and OIV ahead of the price-sensitive unscheduled S&P 500 Index inclusion and exclusion announcements. These announcements can potentially be anticipated by informed investors who analyse, among other information, the buzz and sentiment of social and financial news media.  

The results show a statistically significant and positive association between OIV and news buzz ahead of unscheduled announcements. News buzz predicts OIV, while Twitter and social media buzz do not, indicating that investor activity from online news is associated with the activity of informed investors. The predictive ability of news buzz on OIV is specifically evident in relation to at-the-money (ATM) put options. Social media buzz appears to be related to stock volatility in the U.S. market, but not the Australian market. This leads to the conclusion that disclosure impacts on investor attention. The results support the conjecture that social and news media interact with financial markets in a systematically different way and have divergent predictive abilities in relation to both the stock and options markets. The nature of this interaction ahead of unscheduled company announcements is influenced by the nature of the announcements and the manner of their disclosure.


Macquarie University


Table of Contents

1. Introduction -- 2. Proxies for investor sentiment and attention, and their relationship with OIV and stock volatility -- 3. Regulatory and disclosure settings -- 4. The effects of investor attention on OIV ahead of material company announcements -- 5. Attention, sentiment and OIV prior to S&P 500 Index announcements -- 6. Thesis conclusion -- 7. References

Awarding Institution

Macquarie University

Degree Type

Thesis PhD


Doctor of Philosophy

Department, Centre or School

Department of Economics

Year of Award


Principal Supervisor

Maros Servatka


Copyright: The Author Copyright disclaimer:




Australia United States


254 pages

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