Impact of Investor Sentiment on Stock Returns Using Fine-tune BERT

Chien Cheng Lee, Hung Chun Huang, Chun Li Tsai

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In this study, we explore the impact of investor sentiment on stock returns. We fine-tune the BERT language model to capture investor sentiment from messages posted on the social media platform StockTwits. Apple Inc. (AAPL) stock is selected in this investigation because it has more significance in statistics based on its tremendous messages on StockTwits. A linear regression model is constructed to analyze the relationship between investor sentiment and stock returns. The experimental results show that there is a positive correlation between stock returns and investor sentiment. The investor sentiment can impact the Apple Inc. stock return.

Original languageEnglish
Title of host publication2021 IEEE International Conference on Consumer Electronics-Taiwan, ICCE-TW 2021
PublisherInstitute of Electrical and Electronics Engineers Inc.
ISBN (Electronic)9781665433280
DOIs
Publication statusPublished - 2021
Event8th IEEE International Conference on Consumer Electronics-Taiwan, ICCE-TW 2021 - Penghu, Taiwan
Duration: 2021 Sep 152021 Sep 17

Publication series

Name2021 IEEE International Conference on Consumer Electronics-Taiwan, ICCE-TW 2021

Conference

Conference8th IEEE International Conference on Consumer Electronics-Taiwan, ICCE-TW 2021
Country/TerritoryTaiwan
CityPenghu
Period21-09-1521-09-17

All Science Journal Classification (ASJC) codes

  • Artificial Intelligence
  • Computer Science Applications
  • Electrical and Electronic Engineering
  • Control and Optimization
  • Instrumentation

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