Australian market response to COVID-19 as moderated by social media. Issue 5 (25th August 2021)

• Record Type: Journal Article
• Authors: Maia, Vinicius Mothé; Tommasetti, Roberto; Macedo, Marcelo Alvaro da Silva
• Is Part Of: Pacific accounting review. Volume 33:Issue 5(2021)
• Page Start: 625
• Page End: 635
• Publication Date: 2021-08-25
• Subjects: COVID-19 -- Coronavirus -- ASX300 -- Social media -- Stock return -- Volatility; Accounting -- Pacific Area -- Periodicals; Accounting -- Periodicals; 657
• DOI: 10.1108/PAR-09-2020-0138
• Languages: English
• ISSNs: 0114-0582

Abstract

Abstract : Purpose: Emerging as a black swan event that stifled the global economy, COVID-19 is the first social media (SM) pandemic. In an unsocial age due to social distancing, SM relevance is intuitively magnified during a pandemic. This study aims to investigate the direct and moderating impact of Twitter on the Australian stock market during the COVID-19 info-pandemic. Design/methodology/approach: As a natural experiment, a time-series regression measures the effect of the COVID-19 virus, proxied by the active cases and the marginal impact of SM user attention and sentiment on the Australian stock market. Findings: Results show that SM user attention and sentiment to COVID-19 related fear topics are significant in explaining market returns and in predicting their volatility. It demonstrates that SM plays a role between COVID-19 and Australian stock market performance by amplifying the pandemic impact. Originality: The study goes beyond a purely empirical investigation of the catalyst (i.e. the pandemic), thus contributing to current theoretical debates on the impact of SM on investor behaviour. Practical implications: Policymakers and market participants could benefit from the empirical findings of this research in the case of analogous epidemics.