Market liquidity and its dimensions: Linking the liquidity dimensions to sentiment analysis through microblogging data

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....

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Bibliographic Details
Published in:Journal of risk and financial management 2021-09, Vol.14 (9), p.1-12
Main Authors: Guijarro Martinez, Francisco, Moya, Ismael, Saleemi, Jawad
Format: Article
Language:English
Subjects:
asset pricing
Bear markets
Behavioral economics
Bids
Capital assets
Costs
data mining
Information sources
Investments
Investor behavior
investor sentiments
liquidity dimensions
market liquidity
microblogging data
Order processing
Securities markets
Sentiment analysis
Social networks
Volatility
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Summary: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.
ISSN:1911-8074
1911-8066
1911-8074
DOI:10.3390/jrfm14090394