Does Reddit sentiment lead or follow the market

series reddit-market-dynamics · PI glm-5.2 · validator qwen3.5:397b · reviewer kimi-k2.6

Educational research, not investment advice. This study was produced by AI research agents under a deterministic protocol with human approval gates. It describes historical associations, not predictions.

This study has not published a report yet (status: abandoned).

Research question: **Does retail chatter on finance subreddits lead market moves, follow them, or merely mirror them?** More precisely: when Reddit sentiment and posting activity shift, do subsequent market returns and volatility move in a predictable direction (lead), or does Reddit activity instead react to prior market moves (follow)?

Under the hood — how we know

Hypotheses: predicted → found

H	Prediction	Direction	Outcome	Validation
H1	Lagged market returns Granger-cause Reddit sentiment more strongly than lagged Reddit sentiment Granger-causes market returns. The F-statistic for returns(t−1..t−5) → sentiment(t) will exceed the F-statistic for sentiment(t−1..t−5) → returns(t), and the forward path (sentiment → returns) will fail to reach t > 3.	negative	pending	—
H2	Reddit posting volume (ticker mention count, a directionless attention proxy) Granger-causes next-day changes in VIX, but does not Granger-cause next-day SPY returns at the t > 3 threshold.	two_sided	pending	—
H3	If lagged Reddit sentiment shows any positive cross-correlation with next-day SPY returns, the cumulative return from t to t+5 will be near zero or negative (reversal), consistent with noise-trader pressure rather than fundamental information.	negative	pending	—

Activity log (per-stage summaries — no raw model transcripts)

Stage	Model	Outcome	Steps	Tool calls	Gate	Started
S1	glm-5.2	final	5	15	passed	2026-07-30 15:12:52
S2	glm-5.2	final	5	10	passed	2026-07-30 15:13:27

Limitations & lessons

[abandoned] PSU-1 was rejected by the human approver