Does Public Sentiment Impact Stock Price Movements? Evidence from India

Aditya Banerjee and Sayantan Kundu

Journal of Emerging Market Finance, 2024, vol. 23, issue 1, 108-134

Abstract: This study analyses the impact of a weighted measure of public sentiment about firms on their stock price movement using a sample of 5.4 million tweets from the official Twitter handles of the 437 largest Indian firms. This article contributes to the literature by finding that general public discussion about firms and the resulting sentiment impact firms’ stock price movement in India. Moreover, the impact is greater during trading hours than off-market hours due to immediate action by traders in the former. It is also found that negative public sentiment has a more significant impact than positive sentiment on returns and volatility. JEL Codes: G14, G40, G41

Keywords: Public sentiment; Twitter; stock returns; volatility; market hours; off-market hours (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:23:y:2024:i:1:p:108-134

DOI: 10.1177/09726527231196719

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