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

Vinicius Mothé Maia, Roberto Tommasetti and Marcelo Alvaro da Silva Macedo

Pacific Accounting Review, 2021, vol. 33, issue 5, 625-635

Abstract: 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.

Keywords: COVID-19; Coronavirus; ASX300; Social media; Stock return; Volatility (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:parpps:par-09-2020-0138

DOI: 10.1108/PAR-09-2020-0138

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