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Jurnal Ekonomi Malaysia

57 (3) 2023 1 – 15

Effect of Covid-19 Sentiment on Financial Markets: Evidence from S&P 500 and Bitcoin

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

P94772@siswa.ukm.edu.my

Center for Sustainable and Inclusive Development Studies (SID)
Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

fatin@ukm.edu.my

Center for Sustainable and Inclusive Development Studies (SID)
Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

tamat@ukm.edu.my

Center for Artificial Intelligence Technology (CAIT)
Faculty of Information Science and Technology
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

ridzwanyaakub@ukm.edu.my

Abstract

This study aims to investigate the influence of users’ regarding Covid-19 sentiments in social media on the S&P 500 and Bitcoin returns. The social media used in this study is mainly Twitter. The vector autoregression approach was applied to examine trending issues, which involved daily data observation and observed from 17 August 2021 until 17 December 2021. These estimations revealed that past users’ sentiments have significantly influenced the return of the S&P 500 and Bitcoin, as supported by the Granger causality test and variance decomposition. The findings of this study could be helpful for both policymakers and investors in their efforts to develop plans to lessen market volatility, particularly in terms of future unfavourable events. Investors could also use these findings to create profitable investing plans for when the market is turbulent.

Keywords

Bitcoin; Covid-19; return; S&P 500; sentiment analysis; Twitter

JEL Codes

E70, E71, G11, G14, G15, G41
http://dx.doi.org/10.17576/JEM-2023-5703-01
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Bibliography

Export Bibliography

Somasuntharam, R. S., Said, F. F., Sarmidi, T., & Yaakub, M. R. (2023). Effect of Covid-19 Sentiment on Financial Markets: Evidence from S&P 500 and Bitcoin. Jurnal Ekonomi Malaysia, 57(3), 1–15. http://dx.doi.org/10.17576/JEM-2023-5703-01

@article{somasuntharam2023effect,
  title={Effect of Covid-19 Sentiment on Financial Markets: Evidence from S&P 500 and Bitcoin},
  author={Somasuntharam, Raja Solan and Said, Fathin Faizah and Sarmidi, Tamat and Yaakub, Mohd Ridzwan},
  journal={Jurnal Ekonomi Malaysia},
  volume={57},
  number={3},
  pages={1—15},
 

year={2023},
}

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