Twitter sentiment and stock market: A COVID-19 analysis

Abstract

In this study, we employ the COVID-19 Twitter sentiment of seven countries to examine the stock market indexes. We conduct our analysis on a sample of 1,616,007 tweets over the period January to June 2021. We process the tweets based on the VADER analyzer, thereby producing both positive and negative sentiment measures. Particularly, we prove that higher positivism is associated with a short-term increase in stock prices. On the other side, negativism relates inversely to stock prices with long-term impact, in the case of English spoken countries. Notably, our results remain robust to the inclusion of various control variables, including virtual fear and Google vaccine indexes.

Keywords: Twitter sentiment, textual analysis, stock price indexes, COVID-19

JEL Classification: C33, G15, G41