• ISSN: 2010-023X (Print)
    • Abbreviated Title: Int. J. Trade, Economics and Financ.
    • Frequency: Quaterly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Managing Editor: Ms. Shira. W. Lu
    • Abstracting/ Indexing:  Crossref, Electronic Journals Library , EBSCO
    • E-mail: ijtef.editorial.office@gmail.com
HOME > Archive > 2021 > Volume 12 Number 6 (Dec. 2021) >
IJTEF 2021 Vol.12(6): 149-153 ISSN: 2010-023X
DOI: 10.18178/ijtef.2021.12.6.710

COVID-19: Social Media as Moderator in-between the Pandemic and the Market

R. Tommasetti, V. Mothé Maia, and M. A. da Silva Macedo

Abstract—Emerged as a black swan event that stifled the global economy, the 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. The present study investigates the effect of contagious diseases and the direct and moderator effects of Twitter activity on the Italian Stock Market during the info-pandemic related to COVID-19. 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 the pandemic-related tweets on the Italian stock market. The choice of the country is due to its central role in the pandemic scenario. Results show that local active cases and number of topic-related tweets - both on a stand-alone basis and as moderator of the local active cases - are significant in explaining the market returns and predicting their volatility. It demonstrates that social media play a role in-between the COVID-19 and market, amplifying the pandemic impact. The originality of the study is that it goes beyond a purely empirical investigation of the catalyst (this is the pandemic), thus contributing to current theoretical debates on SM impact on investor’s behaviour. The paper gives a comprehensive reading of the impact of the black swan on the local financial market. Its empirical findings could be used to prepare policymakers and market participants for analogous epidemics.

Index Terms—COVID-19, Italy, Twitter, stock return, volatility.

Roberto Tommasetti is with Federal University of Rio De Janeiro, Brazil (Corresponding author; e-mail: roberto.tommasetti@gmail.com).

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Cite: R. Tommasetti, V. Mothé Maia, and M. A. da Silva Macedo, "COVID-19: Social Media as Moderator in-between the Pandemic and the Market," International Journal of Trade, Economics and Finance vol.12, no.6, pp. 149-153, 2021.

Copyright © 2021 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

 

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