Can sentiments of social media participants reflect by financial market liquidity
- Autores: Jawad Saleemi
- Directores de la Tesis: Ismael Moya Clemente (dir. tes.), Francisco Guijarro Martínez (dir. tes.)
- Lectura: En la Universitat Politècnica de València ( España ) en 2024
- Idioma: inglés
- Tribunal Calificador de la Tesis: J. David Cabedo Semper (presid.), Fernando García García (secret.), María del Mar Miralles Quirós (voc.)
- Programa de doctorado: Programa de Doctorado en Administración y Dirección de Empresas por la Universitat Politècnica de València
- Materias:
- Enlaces
- Tesis en acceso abierto en: RiuNet
- Resumen
This doctoral dissertation falls in the research area of economic and social sciences department, and focuses on the behavioral perspective of market liquidity. The time-varying liquidity and its related issues are one of the dominant concerns in the market microstructure literature. The critical role of market liquidity in executing the transactions or determining the yield on investment is raising concerns for both academics and those who engage in the trading. There is thus need to unveil the potential issues, that may impact the financial market liquidity.
This dissertation seeks to understand market liquidity and its related issues in the light of investors' behavior. The behavioral perspective of liquidity is examined using microblogging-opinionated information. The escalation of behavioral finance literature also comprises the authenticity of microblogging data in both modeling and predicting various concerns associated with the efficient functioning of financial markets. However, previous research in the behavioral finance domain might have ignored a few potential implications of microblogging-opinionated information on market liquidity at the market and firm levels. Therefore, the dissertation aims to be the first empirical attempt in this area of research. The thesis is carried out as a compendium of scientific papers, whose memory includes several research articles published in the indexed journals.
The first article provides insights into relationship between microblogging content and liquidity-facilitating cost. During trading periods, this study suggested that investors' mood was less influential in affecting the time-varying liquidity and its providing cost.
However, the incoming information on a given day was more influential for following trading sessions. The sentiments built on a two-day basis were associated with the liquidity-facilitating cost. The second article covers the dimensions of market liquidity using microblogging opinions. This research revealed that investor sentiments in environments of pessimism had more authoritative power on liquidity dimensions including the trading costs, transaction immediacy, price dispersion and trading volume.
Finally, the third research paper explores the systematic sentiment risk for liquidity in relation to the microblogging data. This study depicted that the bank index liquidity was exposed to the systematic sentiment and liquidity risks, but non-financial firm index liquidity was only exposed to a systematic liquidity risk.
The emotion-driven market participants on microblogging platform may not only influence the time-varying market liquidity and its dimensions, but they may also expose to the systematic risk for liquidity withing a broader market. Thus, liquidity and its related aspects are suggested to be priced against the adverse selection issues in the market.
Additionally, the measurement of incoming information on microblogging platform may better assist the liquidity providers in the construction of portfolio.
