Microblogging Perceptive and Pricing Liquidity: Exploring Asymmetric Information as a Risk Determinant of Liquidity in the Pandemic Environments

Jawad Saleemi
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Jawad Saleemi: Business School, Universitat Politècnica de València, Valencia, Spain

Economic Analysis Letters, 2023, vol. 2, issue 1, 1-9

Abstract: Liquidity can be a real phenomenon for execution of the financial holding. Its risk falls in debate to impose a conditional cost on the counterparty. The time-varying liquidity is often linked to the expected fundamental value of an investment. In this work, the microblogging-based informed transaction is examined as a determinant of the liquidity-facilitating cost. Most importantly, this study investigates the economic blockade era and post-pandemic uncertainty. The sentiment indicators were found to be determinants of liquidity. These findings were consistent in the post-pandemic period. However, the investor pessimistic sentiment was a priced risk factor in liquidity during the economic blockade period. Based on the Bayesian theorem, a relativeness was reported between sentiment indicators and the liquidity-facilitating cost. The same findings were depicted in environments of the pandemic era. Nevertheless, the posterior probability indicated an occurrence of the liquidity-associated cost in response to the pessimistic sentiments during the economic blockade period. This quantification may have potential implications in terms of exploring liquidity from the microblogging perceptive.

Keywords: Pandemic; Microblogging-opinionated content; Sentiment Analysis; Pricing Liquidity (search for similar items in EconPapers)
Date: 2023
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