公众情绪影响股价走势吗?来自印度的证据

IF 1.2 Q3 BUSINESS, FINANCE
Aditya Banerjee, Sayantan Kundu
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引用次数: 0

摘要

本研究使用来自437家最大的印度公司的官方推特处理的540万条推文样本,分析了公众对公司股价变动的加权衡量的影响。本文通过发现一般公众对公司的讨论以及由此产生的情绪影响印度公司的股价走势,为文献做出了贡献。此外,由于交易员在交易时段立即采取行动,交易时段的影响比非市场时段更大。负面公众情绪对收益和波动率的影响比正面公众情绪更显著。JEL代码:G14, G40, G41
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Does Public Sentiment Impact Stock Price Movements? Evidence from India
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
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来源期刊
CiteScore
1.80
自引率
33.30%
发文量
19
期刊介绍: The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.
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