COVID-19 and the stock market: evidence from Twitter

TL;DR

This study analyzes how COVID-19 related Twitter discussions influence US stock market returns, revealing that increased mentions of 'stock' correlate with significant declines in major indices during early 2020.

Contribution

It provides empirical evidence linking social media discourse on COVID-19 to stock market fluctuations using a large Twitter dataset.

Findings

More frequent 'stock' mentions correlate with stock declines

Results are robust across multiple checks

Twitter activity impacts US stock indices during COVID-19

Abstract

COVID-19 has had a much larger impact on the financial markets compared to previous epidemics because the news information is transferred over the social networks at a speed of light. Using Twitter's API, we compiled a unique dataset with more than 26 million COVID-19 related Tweets collected from February 2nd until May 1st, 2020. We find that more frequent use of the word "stock" in daily Tweets is associated with a substantial decline in log returns of three key US indices - Dow Jones Industrial Average, S&P500, and NASDAQ. The results remain virtually unchanged in multiple robustness checks.