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Can textual sentiment partially explain differences in the prices of dual-listed stocks?

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  • Nyakurukwa, Kingstone
  • Seetharam, Yudhvir

Abstract

This study offers a robust examination of the impact of textual sentiment on price deviations for dual-listed stocks. We analysed four (three) pairs of twin stocks to establish the association between news (Twitter) sentiment differentials and theoretical price ratios. The results reveal that: Anglo-American and Anglo-Australian twin stocks exhibit a negative relationship between news (Twitter) sentiment and deviations from theoretical price parity, while the Anglo-South African twin stocks display a positive relationship using news sentiment differentials. We shed light on the role of online sentiment in understanding price deviations and offer valuable insights for investors and analysts.

Suggested Citation

  • Nyakurukwa, Kingstone & Seetharam, Yudhvir, 2023. "Can textual sentiment partially explain differences in the prices of dual-listed stocks?," Finance Research Letters, Elsevier, vol. 58(PC).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009017
    DOI: 10.1016/j.frl.2023.104529
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    References listed on IDEAS

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