Is the Stock Market Performance Vulnerable to the Russian–Ukrainian War? Evidence From the Twitter Sentiment Index

Abstract

Utilising Twitter's daily negative investor sentiment index based on the Russian–Ukrainian war event, this study explores the impact of the investor sentiment index on company stock market returns and liquidity through a comprehensive analytical framework of panel regression and panel vector autoregression models. The results show that there is a negative correlation between the Twitter-based negative investor sentiment index and company stock returns, the direction of company stock inflows, and a positive correlation with stock trading volume; companies that do not respond to decisions promptly after the issuance of sanctions are more significantly affected by investor sentiment. Meanwhile, the findings of this study remain robust after using a system-generalised method of moments model to consider potential endogeneity and replacing the samples in different periods. Finally, the paper gives insights into the role of government agencies, investors and firms in facing major event shocks and predicting stock market performance.