Equity returns and sentiment

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Title: Equity returns and sentiment
Authors: Huang, Z
Ibragimov, R
Item Type: Journal Article
Abstract: This paper analyzes approximately 100 Gigabytes of raw text data from Twitter with keywords “AAPL,” “S&P 500,” “FTSE100” and “NASDAQ” to explore the relationship between sentiment and the returns and prices on the Apple stock and the S&P 500, FTSE 100 and NASDAQ indices. The findings point to significant relationship and dependence between sentiment measures and the S&P 500 and FTSE 100 indices’ returns and prices. The econometric analysis of dependence between the aforementioned variables in the paper is presented in some detail for illustration of the methodology employed.
Issue Date: 14-Jun-2022
Date of Acceptance: 29-Mar-2022
URI: http://hdl.handle.net/10044/1/97653
DOI: 10.1515/demo-2022-0109
ISSN: 2300-2298
Publisher: De Gruyter Open
Start Page: 159
End Page: 176
Journal / Book Title: Dependence Modeling
Volume: 10
Issue: 1
Copyright Statement: © 2022 Zibin Huang and Rustam Ibragimov, published by De Gruyter. This work is licensed under the Creative Commons Attribution 4.0 International License.
Publication Status: Published
Open Access location: https://www.degruyter.com/document/doi/10.1515/demo-2022-0109/html
Online Publication Date: 2022-06-14
Appears in Collections:Imperial College Business School

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