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Does Public Sentiment Impact Stock Price Movements? Evidence from India

Author

Listed:
  • Aditya Banerjee
  • Sayantan Kundu

Abstract

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

Suggested Citation

  • Aditya Banerjee & Sayantan Kundu, 2024. "Does Public Sentiment Impact Stock Price Movements? Evidence from India," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 23(1), pages 108-134, March.
    • Handle: RePEc:sae:emffin:v:23:y:2024:i:1:p:108-134
    DOI: 10.1177/09726527231196719
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    References listed on IDEAS

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    Cited by:

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    Keywords

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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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