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Public Sentiments & Performance of Industrial Indices: Evidence from Twitter Happiness Index


Affiliations
1 Assistant Professor (Finance & Accounting), IIM Visakhapatnam 530 003, India
2 Asistant Professor (Marketing), IIM Rohtak, 124010, India
3 Associate Professor (Operations & Information Science), T A Pai Management Institute (TAPMI), Manipal 576104, India
     

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In this study we analyzed sentiments of the people in terms of Happiness Index calculated based on twitter discussions. We used most liquid composite stock indices from India - Nifty50, CNX Midcap, CNX Smallcap and many sectoral indices. The study was conducted for the period – 2014-2018, on daily data. We used bivariate Vector Auto-Regressive (VAR) framework to test Granger causality of the Sentiments measured as Happiness Index with the next day’s market returns. Key findings of the study suggest that SmallCap and Nifty50 show marginal relationship with previous day’s happiness scores, while amongst sectoral indices only Financial Services and Automotive sector are significantly prone to get impacted by sentiments.

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  • Public Sentiments & Performance of Industrial Indices: Evidence from Twitter Happiness Index

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Authors

Mohammad Shameem Jawed
Assistant Professor (Finance & Accounting), IIM Visakhapatnam 530 003, India
Archit V. Tapar
Asistant Professor (Marketing), IIM Rohtak, 124010, India
Amol S. Dhaigude
Associate Professor (Operations & Information Science), T A Pai Management Institute (TAPMI), Manipal 576104, India

Abstract


In this study we analyzed sentiments of the people in terms of Happiness Index calculated based on twitter discussions. We used most liquid composite stock indices from India - Nifty50, CNX Midcap, CNX Smallcap and many sectoral indices. The study was conducted for the period – 2014-2018, on daily data. We used bivariate Vector Auto-Regressive (VAR) framework to test Granger causality of the Sentiments measured as Happiness Index with the next day’s market returns. Key findings of the study suggest that SmallCap and Nifty50 show marginal relationship with previous day’s happiness scores, while amongst sectoral indices only Financial Services and Automotive sector are significantly prone to get impacted by sentiments.

Keywords


No Keywords.