Twitter sentiment and stock market: a COVID-19 analysis

Apostolos G. Katsafados · Sotirios Nikoloutsopoulos · George N. Leledakis

39 citations0/0 files storedJournal of Economic Studies

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Financial Markets and Investment Strategies Stock Market Forecasting Methods COVID-19 Pandemic Impacts

Abstract

In this study, we employ the COVID-19 Twitter sentiment of seven countries to examine the stock market indexes. We conduct our analysis on a sample of 1,616,007 tweets over the period January to June 2021. We process the tweets based on the VADER analyzer, thereby producing both positive and negative sentiment measures. Particularly, we prove that higher positivism is associated with a short-term increase in stock prices. On the other side, negativism relates inversely to stock prices with long-term impact, in the case of English spoken countries. Notably, our results remain robust to the inclusion of various control variables, including virtual fear and Google vaccine indexes.

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References

2001Bounds testing approaches to the analysis of level relationships 2016Measuring Economic Policy Uncertainty*1999Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors 2011When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks 1998Investor Psychology and Security Market Under‐ and Overreactions 1995Estimating long-run relationships from dynamic heterogeneous panels 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market 2020Financial markets under the global pandemic of COVID-19

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