Abstract

Background and Motivation: The coronavirus (“COVID-19”) pandemic, the subsequent policies and lockdowns have unarguably led to an unprecedented fluid circumstance worldwide. The panic and fluctuations in the stock markets were unparalleled. It is inarguable that real-time availability of news and social media platforms like Twitter played a vital role in driving the investors’ sentiment during such global shock.

Purpose:The purpose of this thesis is to study how the investor sentiment in relation to COVID-19 pandemic influenced stock markets globally and how stock markets globally are integrated and contagious. We analyze COVID-19 sentiment through the Twitter posts and investigate its effect on financial securities movements.

Methodology: In order to determine investor sentiment, we used text mining and Natural Language Processing (NLP) to conduct sentiment analysis on COVID-19 related tweets during the year of 2020 and got the daily polarity of those tweets. We employed a GARCH (1,1) model to study the impact of the investor sentiment, assessed by the COVID-19 related tweets, on the stock markets movements globally, in the conditional heteroscedasticity equation. The thesis uses six global stock market indices from developed markets.

Duration of the study: 4th of January 2020 - 21st of December 2020

Conclusion: Our results from the GARCH (1,1) models suggest that the investors’ sentiment based on the COVID-19 tweets shows significant impact on the conditional heteroscedasticity of the developed markets indices, indicating an impact on volatility and trading volumes of the six developed market indices.

School

School of Business

Department

Management Department

Degree Name

MS in Finance

Graduation Date

Spring 5-31-2021

Submission Date

5-26-2021

First Advisor

Mohammed Bouaddi

Second Advisor

Never Ahmed

Third Advisor

Wael Khreich

Committee Member 1

Noha Youssef

Committee Member 2

Omar Farooq

Extent

58 p.

Document Type

Master's Thesis

Institutional Review Board (IRB) Approval

Not necessary for this item

Available for download on Friday, May 26, 2023

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