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

Indian Journal of Industrial Relations

Volume 56 Issue 1

Published: 2020
Author(s) Name: Mohammad Shameem Jawed, Archit V. Tapar & Amol S. Dhaigude | Author(s) Affiliation: ssistant Professor (Finance & Accounting), IIM Visakhapatnam, Andhra Pradesh
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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.

Keywords: N.A.

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