 How Stock Market Reacts to Budget Announcement? Through the Lens of Social Media in Indian ContextAparup Khatua and Apalak Khatua Management and Labour Studies, 2015, vol. 40, issue 3-4, 239-251 Abstract: Analysis of social media data like tweet feeds can reveal market sentiments. So, researchers are trying to forecast the stock market behaviour through social media analytics. However, the extant research broadly focused on a longer time horizon and attempted to forecast mostly stock market level indicators. On the contrary, we employ social media analytics to forecast stock market’s spontaneous behaviour as a reaction to a macroeconomic event, that is, Indian Budget announcement on 28 February 2015. We captured stock market reactions through company-level Cumulative Abnormal Returns (CAR). We collected around 0.37 million budget related tweets during our three-day event window. Our empirical evidence, of 190 firms from 8 different industries, confirms that industry tweet volume and sentiment can be an indicator of company-level share price movements. This article contributes to the extant literature of information science research as well as behavioural finance by demonstrating the applicability of social media analytics for event study methodology. Keywords: Twitter; stock market; social media; sentiment analysis; event study methodology; public emotion (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sae:manlab:v:40:y:2015:i:3-4:p:239-251 Access Statistics for this article More articles in Management and Labour Studies from XLRI Jamshedpur, School of Business Management & Human Resources |
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