Social sentiment and exchange-specific liquidity at a Eurasian stock exchange outside of US market hours

Tamara Teplova (), Mariya Gubareva () and Nikolai Kudriavtsev ()
Additional contact information
Tamara Teplova: National Research University Higher School of Economics, Russian Federation/HSE University
Mariya Gubareva: Universidade de Lisboa
Nikolai Kudriavtsev: National Research University Higher School of Economics, Russian Federation/HSE University

Eurasian Economic Review, 2023, vol. 13, issue 3, No 14, 753-802

Abstract: Abstract We perform a neural network analysis of the impact of Russian retail investors´ sentiment on the stock price behavior of well-known American companies. We study American stocks in a situation of a time-segmentation of the stock market. A special feature of our analysis is the separate time trading mode, when trading is active at the SPB (formerly St. Petersburg) exchange and inactive at the US stock exchanges. Building on the unique local exchange data and original technique for constructing a neural network to identify the sentiment of messages from several Internet forums, we uncover the existence of behavioral anomalies in a non-English-speaking emerging market and analyze sentiment and attention metrics in social networks. We construct several sentiment metrics based on AI text analysis and use panel regression to identify their statistical significance under the selected hypotheses. The impact of sentiment is examined across the entire sample of US companies available to investors on the SPB exchange and a separate zooming is made at the top 10, 25, 50, and 100 stocks that are under special interest manifested by volume of discussions and trading volume. We also analyze the impact of sentiment on price reaction for individual popular stocks and by industry. We find that retail investors’ sentiment exercises a statistically significant influence on price spikes. The stocks, most sensitive to sentiment, are healthcare and high tech.

Keywords: Neural networks; Big data modeling; Investors sentiments; Foreign stock exchange; Liquidity (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s40822-023-00245-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurase:v:13:y:2023:i:3:d:10.1007_s40822-023-00245-9

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40822

DOI: 10.1007/s40822-023-00245-9

Access Statistics for this article

Eurasian Economic Review is currently edited by Dorothea Schäfer

More articles in Eurasian Economic Review from Springer, Eurasia Business and Economics Society Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().