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What do sentiments of budget speeches mean for stock returns?

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  • Manjhi, Ganesh
  • Shah, Raashid

Abstract

This study examines governments’ term-wise policy analysis, their focus, and thematic shifts using the budget speech data from 1991 to 2024, followed by the sentiment analysis and its impact on the stock returns. The GARCH family models are applied to study the effects of sentiments from the budget speech on the stock returns using the data from 01-07-1997 to 26-07-2024. Our analysis reveals that the government’s top priorities between 1991 and 2024 are services and industry, which in the last 10 years were followed by manufacturing, modernization, health, education, food, business, and digital. The budget speech sentiments have relatively lower negative sentiments; hence, the positive sentiments outweigh throughout. It is observed that polarity reduces stock returns, whereas subjectivity incurs a gain. It implies that the subjective sentiments of more emotive, opinionated, or both incur the capital gain. The result is also warranted because the budget speech day indicates investors’ sentiments of abnormally high trading volume change.

Suggested Citation

  • Manjhi, Ganesh & Shah, Raashid, 2025. "What do sentiments of budget speeches mean for stock returns?," Economic Modelling, Elsevier, vol. 151(C).
    • Handle: RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325001518
    DOI: 10.1016/j.econmod.2025.107156
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    Keywords

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    JEL classification:

    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
    • G1 - Financial Economics - - General Financial Markets
    • G4 - Financial Economics - - Behavioral Finance
    • H6 - Public Economics - - National Budget, Deficit, and Debt
    • N2 - Economic History - - Financial Markets and Institutions

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