Liquidity Risk and Investors’ Mood: Linking the Financial Market Liquidity to Sentiment Analysis through Twitter in the S&P500 Index

Francisco Guijarro, Ismael Moya-Clemente and Jawad Saleemi
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Francisco Guijarro: Business School, Universitat Politècnica de València, 46022 Valencia, Spain
Ismael Moya-Clemente: Business School, Universitat Politècnica de València, 46022 Valencia, Spain
Jawad Saleemi: Business School, Universitat Politècnica de València, 46022 Valencia, Spain

Sustainability, 2019, vol. 11, issue 24, 1-13

Abstract: Microblogging services can enrich the information investors use to make financial decisions on the stock markets. As liquidity has immediate consequences for a trader’s movements, this risk is an attractive area of interest for both academics and those who participate in the financial markets. This paper focuses on market liquidity and studies the impact on liquidity and trading costs of the popular Twitter microblogging service. Sentiment analysis extracted from Twitter and different popular liquidity measures were gathered to analyze the relationship between liquidity and investors’ opinions. The results, based on the analysis of the S&P 500 Index, found that the investors’ mood had little influence on the spread of the index.

Keywords: social media; opinion mining; financial market liquidity; sentiment analysis; trading costs (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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