A note on tweeting and equity markets before and during the Covid-19 pandemic

We investigate the differential effects of a new index of Twitter-based market uncertainty (TMU) and variables for the US equity market before and during the Covid-19 pandemic. We find that markets are significantly more sensitive to the uncertainty contained in tweets during the pandemic, the TMU i...

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Detalles Bibliográficos
Autores principales: Chatterjee, Ujjal, French, Joseph J.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8994474/
https://www.ncbi.nlm.nih.gov/pubmed/35431675
http://dx.doi.org/10.1016/j.frl.2021.102224
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author Chatterjee, Ujjal
French, Joseph J.
author_facet Chatterjee, Ujjal
French, Joseph J.
author_sort Chatterjee, Ujjal
collection PubMed
description We investigate the differential effects of a new index of Twitter-based market uncertainty (TMU) and variables for the US equity market before and during the Covid-19 pandemic. We find that markets are significantly more sensitive to the uncertainty contained in tweets during the pandemic, the TMU is a leading indicator of returns only during the pandemic, and the effect of the TMU on the volatility and liquidity of equity markets is greater during the pandemic compared to the pre-pandemic period. Our results show that the information contained tweets are having a much larger effect on equity markets during the pandemic.
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spelling pubmed-89944742022-04-11 A note on tweeting and equity markets before and during the Covid-19 pandemic Chatterjee, Ujjal French, Joseph J. Financ Res Lett Article We investigate the differential effects of a new index of Twitter-based market uncertainty (TMU) and variables for the US equity market before and during the Covid-19 pandemic. We find that markets are significantly more sensitive to the uncertainty contained in tweets during the pandemic, the TMU is a leading indicator of returns only during the pandemic, and the effect of the TMU on the volatility and liquidity of equity markets is greater during the pandemic compared to the pre-pandemic period. Our results show that the information contained tweets are having a much larger effect on equity markets during the pandemic. Elsevier 2022-05 2021-06-09 /pmc/articles/PMC8994474/ /pubmed/35431675 http://dx.doi.org/10.1016/j.frl.2021.102224 Text en Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Chatterjee, Ujjal
French, Joseph J.
A note on tweeting and equity markets before and during the Covid-19 pandemic
title A note on tweeting and equity markets before and during the Covid-19 pandemic
title_full A note on tweeting and equity markets before and during the Covid-19 pandemic
title_fullStr A note on tweeting and equity markets before and during the Covid-19 pandemic
title_full_unstemmed A note on tweeting and equity markets before and during the Covid-19 pandemic
title_short A note on tweeting and equity markets before and during the Covid-19 pandemic
title_sort note on tweeting and equity markets before and during the covid-19 pandemic
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8994474/
https://www.ncbi.nlm.nih.gov/pubmed/35431675
http://dx.doi.org/10.1016/j.frl.2021.102224
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