The impact of news about COVID-19 on the dynamics of the Russian stock market

Author:

FEDOROVA Elena A.1ORCID,KHRUSTOVA Lyubov' E.1ORCID

Affiliation:

1. Financial University under Government of Russian Federation

Abstract

Subject. The article addresses the Russian stock market during the COVID-19 pandemic. Objectives. The study aims at empirical substantiation of the influence of tonality of news about COVID-19 published in official sources and social networks, on the Russian stock market. Methods. We employ a set of methods and procedures to assess the sentiment of downloaded news texts and tweets and to model the dynamics of general and sectoral stock indices (bag-of-words method, Markov-switching GARCH models, evaluation of text tonality using EcSentiThemeLex dictionary). Results. The paper reveals the influence of the tone of coverage of events related to COVID-19 pandemic in news sources and social networks on changes in stock prices of Russian companies. We substantiated the existence of industry specifics in terms of the degree of influence of the tone of news and tweets on stock price dynamics. The findings can be used by investors and issuers to model and predict changes in securities prices, and complement the theory, by underpinning the significance of the tonality of messages in the news and social networks for the dynamics of the Russian stock market. Conclusions. Changes in the emotional tonality of news and social media posts about COVID-19 impacted the stock market of the Russian Federation. The models enabled to prove that in a volatile economy, not only the information published about the coronavirus is significant for the stock market, but also the dynamics of the number of cases.

Publisher

Publishing House Finance and Credit

Subject

Cell Biology,Developmental Biology,Embryology,Anatomy

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