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

Ujjal Chatterjee and Joseph French

Finance Research Letters, 2022, vol. 46, issue PA

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.

Keywords: Covid-19; Twitter; Tweets; Pandemic; Uncertainty; Equity return predictability (search for similar items in EconPapers)
JEL-codes: G00 G19 G40 G41 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002841

DOI: 10.1016/j.frl.2021.102224

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