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Liquidity Risk and Investors’ Mood: Linking the Financial Market Liquidity to Sentiment Analysis through Twitter in the S&P500 Index

Author

Listed:
  • Francisco Guijarro

    (Business School, Universitat Politècnica de València, 46022 Valencia, Spain)

  • Ismael Moya-Clemente

    (Business School, Universitat Politècnica de València, 46022 Valencia, Spain)

  • Jawad Saleemi

    (Business School, Universitat Politècnica de València, 46022 Valencia, Spain)

Abstract

Microblogging services can enrich the information investors use to make financial decisions on the stock markets. As liquidity has immediate consequences for a trader’s movements, this risk is an attractive area of interest for both academics and those who participate in the financial markets. This paper focuses on market liquidity and studies the impact on liquidity and trading costs of the popular Twitter microblogging service. Sentiment analysis extracted from Twitter and different popular liquidity measures were gathered to analyze the relationship between liquidity and investors’ opinions. The results, based on the analysis of the S&P 500 Index, found that the investors’ mood had little influence on the spread of the index.

Suggested Citation

  • Francisco Guijarro & Ismael Moya-Clemente & Jawad Saleemi, 2019. "Liquidity Risk and Investors’ Mood: Linking the Financial Market Liquidity to Sentiment Analysis through Twitter in the S&P500 Index," Sustainability, MDPI, vol. 11(24), pages 1-13, December.
    • Handle: RePEc:gam:jsusta:v:11:y:2019:i:24:p:7048-:d:296018
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    References listed on IDEAS

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    Cited by:

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    2. Gao, Yang & Zhao, Chengjie & Wang, Yaojun, 2024. "Investor sentiment and stock returns: New evidence from Chinese carbon-neutral stock markets based on multi-source data," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 438-450.
    3. Zhen Peng & Changsheng Hu, 2020. "Leveraged Trading, Irrational Sentiment and Sustainability in the Stock Market: Evidence from China," Sustainability, MDPI, vol. 12(4), pages 1-18, February.
    4. Jawad Saleemi, 2023. "Regime Change Operation in Pakistan: Examining Yield as a Behavioral Pattern of Microblogging rumors during the Political-Obsessed Period," Economic Analysis Letters, Anser Press, vol. 2(2), pages 7-16, May.
    5. Jawad Saleemi, 2024. "Russia-associated sanctions and asset’s value: determination of yield on investment from the liquidity perspective," Economic Analysis Letters, Anser Press, vol. 3(3), pages 19-31, September.
    6. Gerardo Alfonso Perez, 2021. "Short-Term Event-Driven Analysis of the South-East Asia Financial Crisis: A Stock Market Approach," Economies, MDPI, vol. 9(4), pages 1-30, October.
    7. Joon Chae & Ryumi Kim & Jaehee Han, 2020. "Investor Attention from Internet Search Volume and Underreaction to Earnings Announcements in Korea," Sustainability, MDPI, vol. 12(22), pages 1-29, November.
    8. Shuang Liu & Juan Yao & Stephen Satchell, 2020. "Analyst Forecast Dispersion and Market Return Predictability: Does Conditional Equity Premium Play a Role?," JRFM, MDPI, vol. 13(5), pages 1-21, May.
    9. Beibei Niu & Jinzheng Ren & Ansa Zhao & Xiaotao Li, 2020. "Lender Trust on the P2P Lending: Analysis Based on Sentiment Analysis of Comment Text," Sustainability, MDPI, vol. 12(8), pages 1-14, April.

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