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The Journal of Financial Data Science

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Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data

Hasan Fallahgoul
The Journal of Financial Data Science Spring 2021, jfds.2021.1.058; DOI: https://doi.org/10.3905/jfds.2021.1.058
Hasan Fallahgoul
is senior lecturer of quantitative finance in the School of Mathematics at Monash University in Melbourne, Australia
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Abstract

The authors study investor beliefs—sentiment and disagreement—about stock market returns during the COVID-19 pandemic using a large number of investor messages, about 3.7 million, on a social media investing platform, StockTwits. The rich and multimodal features of StockTwits data allow the authors to explore the evolution of sentiment and disagreement within and across investors, sectors, and even industries. The authors find that sentiment (disagreement) has a sharp decrease (increase) across all investors with any investment philosophy, horizon, and experience between February 19, 2020, and March 23, 2020, when a historical market high was followed by a record drop. Surprisingly, these measures have a sharp reversal toward the end of March. However, the performance of these measures across various sectors is heterogeneous. Financial and healthcare sectors are the most pessimistic and optimistic divisions, respectively.

TOPICS: Security Analysis and Valuation, quantitative methods, big data/machine learning, financial crises and financial market history, performance measurement

Key Findings

  • ▪ Daily time series of the sentiment and disagreement is not a stationary process.

  • ▪ Sentiment (disagreement) has a sharp decrease (increase) across all investors with any investment philosophy, horizon, and experience between February 19, 2020, and March 23, 2020, when a historical market high was followed by a record drop.

  • ▪ The financial and healthcare sectors are the most pessimistic and optimistic divisions, respectively.

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The Journal of Financial Data Science: 4 (2)
The Journal of Financial Data Science
Vol. 4, Issue 2
Spring 2022
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Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data
Hasan Fallahgoul
The Journal of Financial Data Science Mar 2021, jfds.2021.1.058; DOI: 10.3905/jfds.2021.1.058

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Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data
Hasan Fallahgoul
The Journal of Financial Data Science Mar 2021, jfds.2021.1.058; DOI: 10.3905/jfds.2021.1.058
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  • Article
    • Abstract
    • PRIMARY CONTRIBUTIONS
    • MAIN EMPIRICAL FINDINGS
    • STOCKTWITS
    • SENTIMENT AND DISAGREEMENT
    • SENTIMENT DYNAMICS: MOVING AVERAGE
    • SENTIMENT AND DISAGREEMENT: AN EMPIRICAL ANALYSIS
    • CONCLUSION
    • ACKNOWLEDGMENT
    • ENDNOTES
    • REFERENCES
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