Social interaction and information transmission are essential components of pricing and trading in financial markets. To investigate the behavior contagion and information cascades among investors and sectors, we deploy a jump-diffusion process on investor sentiment -- a novel dataset from...

We study the investor beliefs, sentiment and disagreement, about stock market returns during the COVID-19 pandemic using a large number of messages of investors -- about 3.7 million messages -- on a social media investing platform,StockTwits. The rich and multimodal features of StockTwits data...