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

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  • Chatterjee, Ujjal
  • French, Joseph J.

Abstract

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.

Suggested Citation

  • Chatterjee, Ujjal & French, Joseph J., 2022. "A note on tweeting and equity markets before and during the Covid-19 pandemic," Finance Research Letters, Elsevier, vol. 46(PA).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002841
    DOI: 10.1016/j.frl.2021.102224
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    References listed on IDEAS

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    Cited by:

    1. Yousaf, Imran & Youssef, Manel & Goodell, John W., 2022. "Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index," International Review of Financial Analysis, Elsevier, vol. 83(C).
    2. Bales, Stephan & Burghartz, Kaspar & Burghof, Hans-Peter & Hitz, Lukas, 2023. "Does the source of uncertainty matter? The impact of financial, newspaper and Twitter-based measures on U.S. banks," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Ben Chamberlain & Zhangxin (Frank) Liu & Lee A. Smales, 2023. "Short interest and the stock market relation with news sentiment from traditional and social media sources," Australian Economic Papers, Wiley Blackwell, vol. 62(2), pages 321-334, June.

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    More about this item

    Keywords

    Covid-19; Twitter; Tweets; Pandemic; Uncertainty; Equity return predictability;
    All these keywords.

    JEL classification:

    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • G00 - Financial Economics - - General - - - General
    • G19 - Financial Economics - - General Financial Markets - - - Other

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