Abstract
The goal of this paper is to explore relationship between Twitter and stock liquidity of some large US internet Dot-com companies in the presence of unknown structural breaks for the period from September 2019 to April 2020. Using the Andrews-Ploberger and Andrews-Quandt structural break models, we identify the major structural breakpoints in the stock liquidity and find that most of these structural changes are significantly perceived. When we examined the sub periods as well as the full sample, Tweets and likes from most numbers of companies were found not to have links with stock liquidity. These results provide crucial insight into portfolio strategy to both international and local investors.
Highlights
Dot-com companies are companies that do their businesses strictly on the internet with a known website on the World Wide Web (WWW) with the domain “.com”
Empirical studies have revealed that Tweets and sentiments associated with Twitter have shown to impact return on investments. Does it affect stock liquidity? given that under the same economic conditions, stock liquidity of separate companies is different, the question is: Does company capitalization affect the relationship between Twitter and stock liquidity? We provide an empirical analysis of the role of social media, Twitter and stock liquidity by tracking the history of individual companies tweets and the corresponding likes
We study the impact of twitter on the US internet Dot-com companies in the presence of unknown structural breaks
Summary
Dot-com companies are companies that do their businesses strictly on the internet with a known website on the World Wide Web (WWW) with the domain “.com”. The “.com” companies conduct their businesses, be those products or services, via webbased mechanism, even when tangible goods, products, or services are involved. Some “.com” companies do not deal with tangible products. Many of these companies respond or communicate with customers and investors through their social media handles, Twitter. Scientific research has shown the existence of a relationship between Twitter’s tweets, “likes”, retweets, etc., and stock market activities, (see Pöppe et al, 2020, Guijarro et al, 2019, Shiva and Singh, 2019, Broadstock and Zhang, 2019). Structural change is common in stock prices relationships, and it can be quite risky to ignore
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
