Australian market response to COVID-19 as moderated by social media

Purpose - Emerging as a black swan event that stifled the global economy, COVID-19 is the first social media (SM) pandemic. In an unsocial age due to social distancing, SM relevance is intuitively magnified during a pandemic. This study aims to investigate the direct and moderating impact of Twitter on the Australian stock market during the COVID-19 info-pandemic. Design/methodology/approach - As a natural experiment, a time-series regression measures the effect of the COVID-19 virus, proxied by the active cases and the marginal impact of SM user attention and sentiment on the Australian stock market. Findings - Results show that SM user attention and sentiment to COVID-19 related fear topics are significant in explaining market returns and in predicting their volatility. It demonstrates that SM plays a role between COVID-19 and Australian stock market performance by amplifying the pandemic impact. Originality - The study goes beyond a purely empirical investigation of the catalyst (i.e. the pandemic), thus contributing to current theoretical debates on the impact of SM on investor behaviour. Practical implications - Policymakers and market participants could benefit from the empirical findings of this research in the case of analogous epidemics.