*Article* **Market Liquidity and Its Dimensions: Linking the Liquidity Dimensions to Sentiment Analysis through Microblogging Data**

**Francisco Guijarro 1,\* , Ismael Moya-Clemente <sup>2</sup> and Jawad Saleemi <sup>3</sup>**


**Abstract:** Market liquidity has an immediate impact on the execution of transactions in financial markets. Informed counterparty risk is often priced into market liquidity. This study investigates whether microblogging data, as a non-financial information tool, is priced along with market liquidity dimensions. The analysis is based on the Australian Securities Exchange (ASX), and from the results, we conclude that microblogging content in pessimistic periods has a higher impact on liquidity and its dimensions. On a daily basis, pessimistic investor sentiments lead to higher trading costs, illiquidity, a larger price dispersion and a lower trading volume.

**Keywords:** microblogging data; data mining; investor sentiments; asset pricing; market liquidity; liquidity dimensions
