Are option traders more informed than Twitter users? A PVAR analysis
使用面板向量自回归模型，研究推特信息、股票已实现波动率和期权隐含波动率之间的因果关系，发现期权市场能预测推特活动，并建议监控社交媒体以防止假新闻传播。
Abstract Prior research has examined whether Twitter information predicts stock returns and volatility. We study the causality between Twitter information, stock‐realized volatility, and option‐implied volatility using a panel vector autoregressive model. Using panel data on S&P/ASX 200 stocks, we reveal a bidirectional causality between realized volatility and Twitter activity and divergence of opinion. We also find strong evidence of causality from implied idiosyncratic volatility to Twitter activity, sentiment, and divergence of opinion. Our results highlight the role of the options market in predicting Twitter information and monitoring social media flows to prevent the spread of fake news.