A Note on Tweeting and Equity Markets before and during the COVID-19 Pandemic

17 Pages Posted: 17 Jun 2021

See all articles by Ujjal Chatterjee

Ujjal Chatterjee

University of Trento

Joseph J. French

University of Northern Colorado

Date Written: June 3, 2021

Abstract

We investigate the differential effects of a new index of Twitter-based market uncertainty (TMU) and variables for the US equity market before and during the COVID-19 pandemic. We find that markets are significantly more sensitive to the uncertainty contained in tweets during the pandemic, the TMU is a leading indicator of returns only during the pandemic, and the effect of the TMU on the volatility and liquidity of equity markets is greater during the pandemic compared to the pre-pandemic period. Our results show that the information contained tweets are having a much larger effect on equity markets during the pandemic.

Keywords: COVID-19, Twitter, Tweets, Pandemic, Uncertainty, Equity Return Predictability

JEL Classification: G41, G40, G00, G19

Suggested Citation

Chatterjee, Ujjal and French, Joseph J., A Note on Tweeting and Equity Markets before and during the COVID-19 Pandemic (June 3, 2021). Finance Research Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3863347 or http://dx.doi.org/10.2139/ssrn.3863347

Ujjal Chatterjee (Contact Author)

University of Trento ( email )

Via Giuseppe Verdi 26
Trento, Trento 38152
Italy

Joseph J. French

University of Northern Colorado ( email )

501 20th Street
Greeley, CO 80639
United States

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