Beyond negative and positive: Exploring the effects of emotions in social media during the stock market crash

作者：

Highlights：

• This paper investigates the effects of emotions in social media (ESM) on the stock market during the market crash using a cognition-based framework.

• It is verified that ESM firstly influence the market cognition, and then influence the stock market during the market crash.

• High arousal ESM increases the probability of market cognition of a crash state both in-crash and post-crash periods.

• Positive valence ESM adjusts the market cognition to the stable state only in the later stage of the market crash.

• “Fear” and “Disgust” are the two significant sub-categorical emotions correlated with the market cognition during the market crash.

摘要

•This paper investigates the effects of emotions in social media (ESM) on the stock market during the market crash using a cognition-based framework.•It is verified that ESM firstly influence the market cognition, and then influence the stock market during the market crash.•High arousal ESM increases the probability of market cognition of a crash state both in-crash and post-crash periods.•Positive valence ESM adjusts the market cognition to the stable state only in the later stage of the market crash.•“Fear” and “Disgust” are the two significant sub-categorical emotions correlated with the market cognition during the market crash.

论文关键词：Stock market crash,Emotion in social media (ESM),Market cognition,HMM

论文评审过程：Received 31 August 2019, Revised 19 January 2020, Accepted 31 January 2020, Available online 27 February 2020, Version of Record 6 May 2020.

论文官网地址：https://doi.org/10.1016/j.ipm.2020.102218