Uncovering the relationship between incidental emotion toward a disaster and stock market fluctuations: Evidence from the US market
利用BERTweet情感分析构建偶发情绪指标，研究美国公众对新冠疫情的集体情绪与股市回报及交易量的关系，发现情绪显著影响道琼斯和标普500指数回报。
Despite having potentially important implications, there has been little research on the relationship between the public's incidental emotion and the stock market. To that end, we construct a valence-based measure of incidental emotion using BERTweet's sentiment analysis and empirically investigate the association between collective incidental emotion toward the COVID-19 pandemic and the U.S. stock market. We employ multivariate time series autoregressive models to test the relationship between emotion polarity and stock market returns or trading volumes. The results reveal that societal sentiment toward the pandemic has a significant effect on the returns of the Dow Jones Industrial Average and S&P 500. In contrast, the macro-level emotion does not significantly affect the return for NASDAQ 100. The findings also suggest a significant association between incidental emotion and trading volumes. We conduct a battery of sensitivity tests that further support our conjecture. The study underscores the robust role of incidental emotion in investment decision-making, highlighting its significance as a distinctive feature that should be incorporated into financial decision support systems.