Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258498 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 9 [Article No.:] 394 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-12
Publisher: 
MDPI, Basel
Abstract: 
Market liquidity has an immediate impact on the execution of transactions in financial markets. Informed counterparty risk is often priced into market liquidity. This study investigates whether microblogging data, as a non-financial information tool, is priced along with market liquidity dimensions. The analysis is based on the Australian Securities Exchange (ASX), and from the results, we conclude that microblogging content in pessimistic periods has a higher impact on liquidity and its dimensions. On a daily basis, pessimistic investor sentiments lead to higher trading costs, illiquidity, a larger price dispersion and a lower trading volume.
Subjects: 
asset pricing
data mining
investor sentiments
liquidity dimensions
market liquidity
microblogging data
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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