The Influence of the Online-Activity of Politicians in Social Networks on Financial Market

In my work, I have studied the influence of online behavior of politicians on financial market performance. The object of the study is the effect of tweets published by senators in the social network Twitter in the period from 01.01.2013 to 01.01.2017 on the main Russian stock indices: consolidated stock indices MOEX and sectoral indices. To evaluate this impact, negative tweets written by senators were selected according to the topic associated with criticism of Russia and the possible introduction of sanctions. The number of tweets, their key characteristics (retweet, like, comment) on certain day act as parameters that affect the expectations of investors in the market, and the values of chosen indices. The following key results were obtained: each additional post entails a decrease in the yield of the MOEX index by 2.5 basis points in the next trading day. Also, the negative impact of posts is different, if we consider sectoral indices separately from each other. Thus, the decrease in resource, financial and chemical indices is equal to 3.3, 3.1 and 3.8 basis points, respectively.