Online Supplemental Material: Impact of the COVID-19 Pandemic on the Stock Market and Investor Online Word of Mouth

This document contains the online supplemental material of “Impact of the COVID-19 Pandemic on the Stock Market and Investor Online Word of Mouth”, to appear in Decision Support Systems in 2023 [S1]. “Impact of the COVID-19 Pandemic on the Stock Market and Investor Online Word of Mouth” studies the predictability of the stock market before, during, and after a major socio-economic disaster, the COVID-19 pandemic, through the lens of social media word-of-mouth (WOM). We conduct our investigation using the social media platform Twitter, leveraging an approximately 24.6 million tweet dataset. We first investigate the predictability of WOM sentiment, subsequently investigating the predictability of different topics of discussion. We find that sentiment significant significantly predicts market behavior during normal market conditions, but not during or in the wake of the pandemic. We also find that different topics of discussion are significant to the prediction before, during, and after the disaster. Curiously, during the recovery period, we find a partial reversion to the topics that were significant during the pre-COVID period, adding to our proposed recovery narrative.