A note on tweeting and equity markets before and during the Covid-19 pandemic

• Published in: Finance research letters Vol. 46; p. 102224
• Main Authors: Chatterjee, Ujjal, French, Joseph J.
• Format: Journal Article
• Language: English
• Published: Netherlands Elsevier Inc 01.05.2022; Elsevier
• Subjects: Covid-19; Equity return predictability; Pandemic; Tweets; Twitter; Uncertainty; Tweets; Uncertainty; Equity return predictability; G40; Covid-19; G41; G00; Twitter; Pandemic; G19
• ISSN: 1544-6123; 1544-6131; 1544-6131
• DOI: 10.1016/j.frl.2021.102224

•Equity market returns are more sensitive to the uncertainty contained in tweets during the Covid-19 pandemic.•The twitter market uncertainty index (TMU) is a leading indicator of returns only during the pandemic.•The impact of the TMU on the volatility and liquidity of equity markets is also greater during the pandemic. 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.