The Impact of Elon Musk’s negative sentiment-driven Tweets on the top 50 equities in the S&P 500: An Event Study

Abstract

This paper seeks to explore the impact of Elon Musk’s negative sentiment-driven tweets on the top 50 equities in the S&P 500. To do this, I classify Elon Musk’s negative sentiment tweets into daily and intraday samples and look at the Abnormal Returns (the difference between actual returns and CAPM estimated returns for an 11 day window with the event day as the central day) and Abnormal Volume Traded (the ratio of the difference in Volume on a given event window day and the estimation window average to the estimation window average) for both daily and intraday samples. I also look at the impact of the Likes per Tweet on Abnormal Returns on the day of the tweet. This paper finds that Likes per tweet is a statistically significant predictor of Abnormal Volume Traded.