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Authors
Affiliations
1 Assistant Professor (Finance & Accounting), IIM Visakhapatnam 530 003, IN
2 Asistant Professor (Marketing), IIM Rohtak, 124010, IN
3 Associate Professor (Operations & Information Science), T A Pai Management Institute (TAPMI), Manipal 576104, IN
Source
Indian Journal of Industrial Relations: Economics & Social Dev., Vol 56, No 1 (2020), Pagination: 51-57
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.
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