TY - JOUR
T1 - Inside the Mind of Investors During the COVID-19 Pandemic
T2 - Evidence from the StockTwits Data
AU - Fallahgoul, Hasan
N1 - Funding Information:
I thank Frank J. Fabozzi (the editor). I am grateful to the StockTwits company, Garrett Hoffman, for facilitating access to the data by providing an API. I also thank Yuan Zhang for providing several Python scripts. Monash Centre for Quantitative Finance and Investment Strategies has been supported by BNP Paribas.
Publisher Copyright:
© 2021 With Intelligence Ltd.
PY - 2021/3
Y1 - 2021/3
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85107515862&partnerID=8YFLogxK
U2 - 10.3905/jfds.2021.1.058
DO - 10.3905/jfds.2021.1.058
M3 - Article
AN - SCOPUS:85107515862
SN - 2640-3943
VL - 3
SP - 134
EP - 148
JO - Journal of Financial Data Science
JF - Journal of Financial Data Science
IS - 2
ER -