News and Social Networks of Russian Companies: the Degree of Influence on the Security Market

This paper explores the rapidly changing social and news landscape of the media, which is responsible for the dissemination of information vital to the effective functioning of financial markets. Also, attention is paid to the sensitivity of asset pricing to key events that can cause fear and risk aversion among investors. Such events are COVID-19 and economic sanctions. The results of the research show that the profitability of the market is explained by both economic indicators (oil and currency exchange rates) and the tone of text information. Moreover, from 2011 to 2015, the tonality of the news background was the dominant information factor in the yield of the securities market, and in the period from 2017 to 2020, the dominance shifted to the mood of social media texts. During the period under review, the sensitivity of asset pricing in Russia to social influence through the mood of microblogs has increased, while the influence of news tone has weakened. Key events also contribute to the movement of the securities market, and this impact is negative, which confirms the risk aversion and fear of investors about economic instability caused by mass diseases and foreign sanctions.