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Open Access Journal Article

Systematic Sentiment Risk & Market Liquidity: Systematic Liquidity Pricing in Light of the Microblogging Content

by Jawad Saleemi a,*
a
Business School, Universitat Politècnica de València, València, Spain
*
Author to whom correspondence should be addressed.
JEA  2025 4(2):99; https://doi.org/10.58567/jea04020002
Received: 9 July 2024 / Accepted: 24 December 2024 / Published Online: 21 January 2025
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Abstract

Investors are keenly interested in the risk of informed trading, as it can have an immediate impact on transaction costs imposed by liquidity providers. This paper examines microblogging-based informed trading as a systematic risk for liquidity at both market and firm levels. Assets at firm level were categorized into financial and non-financial perspective. In this context, the study constructed a bank index and non-financial firms (NFF) index within the broader market. In a relative market, the liquidity was priced pessimistically and a higher probability for appearance of spread was noted during pessimism environments. The bank index liquidity was significantly responsive towards systematic bearish and bullish sentiments. In addition, the posterior probability of systematic sentiment risk was considerably higher for bank assets’ liquidity. The NFF index liquidity was not exposed to the systematic bearish and bullish sentiments. Meantime, the posterior probability of systematic sentiment risk was considerably lower for non-financial assets’ liquidity. The relative market’s liquidity was not influenced by changes in past series of bearish and bullish sentiments. Similarly, the sentiments’ lags were not strong enough to impact the firm index liquidity in the short or long run.

Keywords: Microblogging data; Investor Sentiments; Asset Pricing; Liquidity; Systematic Risk;
Copyright: © 2025 by Saleemi. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY) (Creative Commons Attribution 4.0 International License). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.

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ACS Style
Saleemi, J. Systematic Sentiment Risk & Market Liquidity: Systematic Liquidity Pricing in Light of the Microblogging Content. Journal of Economic Analysis, 2025, 4, 99. https://doi.org/10.58567/jea04020002
AMA Style
Saleemi J. Systematic Sentiment Risk & Market Liquidity: Systematic Liquidity Pricing in Light of the Microblogging Content. Journal of Economic Analysis; 2025, 4(2):99. https://doi.org/10.58567/jea04020002
Chicago/Turabian Style
Saleemi, Jawad 2025. "Systematic Sentiment Risk & Market Liquidity: Systematic Liquidity Pricing in Light of the Microblogging Content" Journal of Economic Analysis 4, no.2:99. https://doi.org/10.58567/jea04020002
APA style
Saleemi, J. (2025). Systematic Sentiment Risk & Market Liquidity: Systematic Liquidity Pricing in Light of the Microblogging Content. Journal of Economic Analysis, 4(2), 99. https://doi.org/10.58567/jea04020002

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