Structural Breaks, Twitter and the Stock Liquidity of Internet Dot-com Company: Evidence from US Companies

Abstract

The goal of this paper is to explore relationship between Twitter and
stock liquidity of some large US internet Dot-com companies in the
presence of unknown structural breaks for the period from September
2019 to April 2020. Using the Andrews-Ploberger and Andrews-Quandt
structural break models, we identify the major structural breakpoints
in the stock liquidity and find that most of these structural changes are
significantly perceived. When we examined the sub periods as well as
the full sample, Tweets and likes from most numbers of companies were
found not to have links with stock liquidity. These results provide crucial
insight into portfolio strategy to both international and local investors.