Despite having potentially important implications, there has been little research on the relationship between the public's incidental emotion and the stock market. To that end, we construct a valence-based measure of incidental emotion using BERTweet's sentiment analysis and empirically investigate the association between collective incidental emotion toward the COVID-19 pandemic and the U.S. stock market. We employ multivariate time series autoregressive models to test the relationship between emotion polarity and stock market returns or trading volumes. The results reveal that societal sentiment toward the pandemic has a significant effect on the returns of the Dow Jones Industrial Average and S&P 500. In contrast, the macro-level emotion does not significantly affect the return for NASDAQ 100. The findings also suggest a significant association between incidental emotion and trading volumes. We conduct a battery of sensitivity tests that further support our conjecture. The study underscores the robust role of incidental emotion in investment decision-making, highlighting its significance as a distinctive feature that should be incorporated into financial decision support systems.

中文翻译：

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揭示灾难附带情绪与股市波动之间的关系：来自美国市场的证据

尽管具有潜在的重要影响，但对公众偶然情绪与股市之间关系的研究却很少。为此，我们使用 BERTweet 的情绪分析构建了一种基于效价的偶发情绪度量，并实证研究了针对 COVID-19 大流行的集体偶发情绪与美国股市之间的关联。我们采用多元时间序列自回归模型来测试情绪极性与股市回报或交易量之间的关系。结果显示，社会对疫情的情绪对道琼斯工业平均指数和标准普尔 500 指数的回报有显着影响。相比之下，宏观层面的情绪对纳斯达克 100 指数的回报没有显着影响。研究结果还表明，宏观层面的情绪对纳斯达克 100 指数的回报没有显着影响。偶然情绪与交易量之间的关联。我们进行了一系列敏感性测试，进一步支持了我们的猜想。该研究强调了偶然情绪在投资决策中的强大作用，强调了其作为应纳入金融决策支持系统的独特特征的重要性。