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Stock markets performance during a pandemic: How contagious is COVID-19?
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 so...
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AUC Knowledge Fountain
2021
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| _version_ | 1867613419934318592 |
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| access_status_str | Open Access |
| author | Abushahba, Yara |
| author_browse | Abushahba, Yara |
| author_facet | Abushahba, Yara |
| author_sort | Abushahba, Yara |
| collection | Thesis |
| description | 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. |
| format | Thesis |
| id | oai:fount.aucegypt.edu:etds-2686 |
| institution | American University in Cairo (Egypt) |
| last_indexed | 2026-06-10T12:35:51.500Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from AUC Knowledge Fountain — bepress |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | AUC Knowledge Fountain |
| publisherStr | AUC Knowledge Fountain |
| record_format | dspace |
| source_str | AUC Knowledge Fountain — bepress |
| spelling | oai:fount.aucegypt.edu:etds-2686 Stock markets performance during a pandemic: How contagious is COVID-19? Abushahba, Yara 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. 2021-05-31T07:00:00Z thesis application/pdf https://fount.aucegypt.edu/etds/1657 https://fount.aucegypt.edu/context/etds/article/2686/viewcontent/Stock_Markets_Performance_During_A_Pandemic_Masters__of_Science_in_Finance___Yara_Abushahba.pdf Theses and Dissertations AUC Knowledge Fountain Sentiment Analysis Twitter Affective Computing Covid-19 pandemic volatility global indices Applied Mathematics Artificial Intelligence and Robotics Business Analytics Business and Corporate Communications Business Intelligence Computational Engineering Corporate Finance Data Science Digital Communications and Networking Finance and Financial Management Longitudinal Data Analysis and Time Series Multivariate Analysis Programming Languages and Compilers Risk Analysis Statistics and Probability |
| spellingShingle | Sentiment Analysis Twitter Affective Computing Covid-19 pandemic volatility global indices Applied Mathematics Artificial Intelligence and Robotics Business Analytics Business and Corporate Communications Business Intelligence Computational Engineering Corporate Finance Data Science Digital Communications and Networking Finance and Financial Management Longitudinal Data Analysis and Time Series Multivariate Analysis Programming Languages and Compilers Risk Analysis Statistics and Probability Abushahba, Yara Stock markets performance during a pandemic: How contagious is COVID-19? |
| title | Stock markets performance during a pandemic: How contagious is COVID-19? |
| title_full | Stock markets performance during a pandemic: How contagious is COVID-19? |
| title_fullStr | Stock markets performance during a pandemic: How contagious is COVID-19? |
| title_full_unstemmed | Stock markets performance during a pandemic: How contagious is COVID-19? |
| title_short | Stock markets performance during a pandemic: How contagious is COVID-19? |
| title_sort | stock markets performance during a pandemic how contagious is covid 19 |
| topic | Sentiment Analysis Twitter Affective Computing Covid-19 pandemic volatility global indices Applied Mathematics Artificial Intelligence and Robotics Business Analytics Business and Corporate Communications Business Intelligence Computational Engineering Corporate Finance Data Science Digital Communications and Networking Finance and Financial Management Longitudinal Data Analysis and Time Series Multivariate Analysis Programming Languages and Compilers Risk Analysis Statistics and Probability |
| url | https://fount.aucegypt.edu/etds/1657 https://fount.aucegypt.edu/context/etds/article/2686/viewcontent/Stock_Markets_Performance_During_A_Pandemic_Masters__of_Science_in_Finance___Yara_Abushahba.pdf |
| work_keys_str_mv | AT abushahbayara stockmarketsperformanceduringapandemichowcontagiousiscovid19 |