Tweets analytics for directional prediction of stock market movement: a short window event study

Abstract

This study examines the influence of tweets on the prediction of the Nifty 50 index movement in association with the COVID-19 vaccination news break event in India. A 15-day short window analysis has conducted using 27,175 tweets with 14 hashtags from the first date of the COVID-19 vaccination news break in India on December 2020. The investigation explores the impact of sentiment, mood and volume of tweets on Nifty 50 index movement through regression analysis. We find positive sentiment more significantly influences the market movement than negative sentiment associated with any optimistic event, and mood is the most efficient predictor of daily market movement. However, volumes of tweets have not significantly supported our predictor model used in this study. Therefore, this study provides the behavioural impact of Twitter sentiment analysis on stock market movement only associated with an optimistic event, which can also be considered a gap for future exploration.