LAUSR

ABSTRACT We are grateful for the insightful comments provided by the editor and the anonymous referees. Joseph French acknowledges financial support from a Monfort College of Business Summer Research Grant. We investigate the differential effects of a new index of Twitter-based market uncertainty (TMU) and variables for the US equity market before and during the Covid-19 pandemic. We find that markets are significantly more sensitive to the uncertainty contained in tweets during the pandemic, the TMU is a leading indicator of returns only during the pandemic, and the effect of the TMU on the volatility and liquidity of equity markets is greater during the pandemic compared to the pre-pandemic period. Our results show that the information contained tweets are having a much larger effect on equity markets during the pandemic.