Australian market response to COVID-19 as moderated by social media
ISSN: 0114-0582
Article publication date: 25 August 2021
Issue publication date: 19 November 2021
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.
Keywords
Citation
Maia, V.M., Tommasetti, R. and Macedo, M.A.d.S. (2021), "Australian market response to COVID-19 as moderated by social media", Pacific Accounting Review, Vol. 33 No. 5, pp. 625-635. https://doi.org/10.1108/PAR-09-2020-0138
Publisher
:Emerald Publishing Limited
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