In this paper, we investigate the dynamic relationship between Twitter sentiment related to vaccines and Covid-19 and the volatility of pharmaceutical stock returns. The first step is to construct a time-series Twitter sentiment index by considering the positive, negative , and neutral sentiment of tweets. A TGARCH-M model was then constructed to correlate the stock returns of five pharmaceutical companies with the Twitter sentiment. The results show that Twitter sentiment responds to stock price volatility in the market, especially i n three companies, BioTech, Novovax , and Moderna. The relationship between the volatility of the stock returns of the three companies and Twitter sentiment was significant. Stock returns are negatively correlated with their volatility, with an increase in expected risk in the market leading to a corresponding decrease in returns. Positive sentiment is more likely to produce large swings in returns than negative sentiment.
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