COVID-19 and the stock market: evidence from Twitter

Rahul Goel, Lucas Javier Ford, Maksym Obrizan and Rajesh Sharma

Papers from arXiv.org

Abstract: COVID-19 has had a much larger impact on the financial markets compared to previous epidemics because the news information is transferred over the social networks at a speed of light. Using Twitter's API, we compiled a unique dataset with more than 26 million COVID-19 related Tweets collected from February 2nd until May 1st, 2020. We find that more frequent use of the word "stock" in daily Tweets is associated with a substantial decline in log returns of three key US indices - Dow Jones Industrial Average, S&P500, and NASDAQ. The results remain virtually unchanged in multiple robustness checks.

Date: 2020-11
New Economics Papers: this item is included in nep-big
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