Correlation Analysis Between Accounting Information and Daily Twitter’s Happiness Sentiment on Stock Return

Rezky Ramadhani (), Abdul Hamid Habbe and R. A. Damayanti
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Rezky Ramadhani: Hasanuddin University
Abdul Hamid Habbe: Hasanuddin University
R. A. Damayanti: Hasanuddin University

A chapter in Proceedings of the 7th International Conference on Accounting, Management and Economics (ICAME-7 2022), 2023, pp 411-420 from Springer

Abstract: Abstract The main goal of financial reporting is to provide relevant information for estimating business value. This study has two purposes. The first purpose is to analyze the causal relationship between accounting information and stock returns. The second one is to analyze the causal relationship between daily happiness sentiment on twitter and stock returns. The research data was obtained from the financial statements of LQ45 companies throughout the period from 2011 to 2021 and collected daily happiness sentiment data from Twitter at https://hedenometer.org . The analytical technique used in this study is the Granger Causality Analysis technique. The results show that Earnings per Share (EPS) can predict future Stock Return so that EPS as a fundamental factor is still relevant in making investment decisions and Daily Happiness Sentiment on Twitter can be a new proxy in predicting stock returns in the future. This research is important as representative research in developing countries with a new proxy for online investor sentiment.

Keywords: Earning per Share; Online Investor Sentiment; Stock Market; Granger Causality (search for similar items in EconPapers)
Date: 2023
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DOI: 10.2991/978-94-6463-146-3_41

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