Summary We investigate the impact of social media data in predicting the Tehran Stock Exchange variables for the first time. We consider the closing price and daily return of three different stocks for this investigation. We collected our social media data from http://Sahamyab.com/stocktwits for about 3 months. To extract information from online comments, we propose a hybrid sentiment analysis approach that combines lexicon‐based and learning‐based methods. Since lexicons that are available for the Persian language are not practical for sentiment analysis in the stock market domain, we built a particular sentiment lexicon for this domain. After designing and calculating daily sentiment indices using the sentiment of the comments, we examine their impact on the baseline models that only use historical market data and propose new predictor models using multi‐regression analysis. In addition to the sentiments, we also examine the comments volume and the users' reliabilities. We conclude that the predictability of various stocks in the Tehran Stock Exchange is different depending on their attributes. Moreover, we indicate that only comments volume could be useful for predicting the closing price, and both the volume and the sentiment of the comments could be useful for predicting the daily return. We demonstrate that users' trust coefficients have different behaviours toward the three stocks.