Abstract
Analysis of social media data like tweet feeds can reveal market sentiments. So, researchers are trying to forecast the stock market behaviour through social media analytics. However, the extant research broadly focused on a longer time horizon and attempted to forecast mostly stock market level indicators. On the contrary, we employ social media analytics to forecast stock market’s spontaneous behaviour as a reaction to a macroeconomic event, that is, Indian Budget announcement on 28 February 2015. We captured stock market reactions through company-level Cumulative Abnormal Returns (CAR). We collected around 0.37 million budget related tweets during our three-day event window. Our empirical evidence, of 190 firms from 8 different industries, confirms that industry tweet volume and sentiment can be an indicator of company-level share price movements. This article contributes to the extant literature of information science research as well as behavioural finance by demonstrating the applicability of social media analytics for event study methodology.
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