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Market Liquidity and Its Dimensions: Linking the Liquidity Dimensions to Sentiment Analysis through Microblogging Data

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Market Liquidity and Its Dimensions: Linking the Liquidity Dimensions to Sentiment Analysis through Microblogging Data

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dc.contributor.author Guijarro, Francisco es_ES
dc.contributor.author Moya Clemente, Ismael es_ES
dc.contributor.author Saleemi, Jawad es_ES
dc.date.accessioned 2022-11-14T19:02:32Z
dc.date.available 2022-11-14T19:02:32Z
dc.date.issued 2021-09 es_ES
dc.identifier.uri http://hdl.handle.net/10251/189738
dc.description.abstract [EN] Market liquidity has an immediate impact on the execution of transactions in financial markets. Informed counterparty risk is often priced into market liquidity. This study investigates whether microblogging data, as a non-financial information tool, is priced along with market liquidity dimensions. The analysis is based on the Australian Securities Exchange (ASX), and from the results, we conclude that microblogging content in pessimistic periods has a higher impact on liquidity and its dimensions. On a daily basis, pessimistic investor sentiments lead to higher trading costs, illiquidity, a larger price dispersion and a lower trading volume. es_ES
dc.language Inglés es_ES
dc.publisher MDPI AG es_ES
dc.relation.ispartof Journal of Risk and Financial Management (Online) es_ES
dc.rights Reconocimiento (by) es_ES
dc.subject Microblogging data es_ES
dc.subject Data mining es_ES
dc.subject Investor sentiments es_ES
dc.subject Asset pricing es_ES
dc.subject Market liquidity es_ES
dc.subject Liquidity dimensions es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title Market Liquidity and Its Dimensions: Linking the Liquidity Dimensions to Sentiment Analysis through Microblogging Data es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.3390/jrfm14090394 es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Facultad de Administración y Dirección de Empresas - Facultat d'Administració i Direcció d'Empreses es_ES
dc.description.bibliographicCitation Guijarro, F.; Moya Clemente, I.; Saleemi, J. (2021). Market Liquidity and Its Dimensions: Linking the Liquidity Dimensions to Sentiment Analysis through Microblogging Data. Journal of Risk and Financial Management (Online). 14(9):1-12. https://doi.org/10.3390/jrfm14090394 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion https://doi.org/10.3390/jrfm14090394 es_ES
dc.description.upvformatpinicio 1 es_ES
dc.description.upvformatpfin 12 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 14 es_ES
dc.description.issue 9 es_ES
dc.identifier.eissn 1911-8074 es_ES
dc.relation.pasarela S\444415 es_ES


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