Sentiment, Emotions and Stock Market Predictability in Developed and Emerging Markets

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aut.relation.softwareversion502en_NZ
aut.researcherRossouw, Stephanie
dc.contributor.authorRossouw, Sen_NZ
dc.contributor.authorGreyling, Ten_NZ
dc.contributor.authorSteyn, Den_NZ
dc.date.accessioned2020-07-13T23:23:46Z
dc.date.available2020-07-13T23:23:46Z
dc.date.copyright2020-04-02en_NZ
dc.date.issued2020-04-02en_NZ
dc.description.abstractThis paper investigates the predictability of stock market movements using text data extracted from the social media platform, Twitter. We analyse text data to determine the sentiment and the emotion embedded in the Tweets and use them as explanatory variables to predict stock market movements. The study contributes to the literature by analysing high-frequency data and comparing the results obtained from analysing emerging and developed markets, respectively. To this end, the study uses three different Machine Learning Classification Algorithms, the Naïve Bayes, K-Nearest Neighbours and the Support Vector Machine algorithm. Furthermore, we use several evaluation metrics such as the Precision, Recall, Specificity and the F-1 score to test and compare the performance of these algorithms. Lastly, we use the K-Fold Cross-Validation technique to validate the results of our machine learning models and the Variable Importance Analysis to show which variables play an important role in the prediction of our models. The predictability of the market movements is estimated by first including sentiment only and then sentiment with emotions. Our results indicate that investor sentiment and emotions derived from stock market-related Tweets are significant predictors of stock market movements, not only in developed markets but also in emerging markets.
dc.identifier.citationGLO Discussion Paper, No. 502, Global Labor Organization (GLO), Essen
dc.identifier.urihttps://hdl.handle.net/10292/13524
dc.publisherGlobal Labor Organizationen_NZ
dc.relation.urihttps://www.econstor.eu/handle/10419/215436en_NZ
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dc.rights.accessrightsOpenAccessen_NZ
dc.subjectSentiment Analysis; Classification; Stock Prediction; Machine Learning
dc.titleSentiment, Emotions and Stock Market Predictability in Developed and Emerging Marketsen_NZ
dc.typeDiscussion Paper
pubs.elements-id383462
pubs.organisational-data/AUT
pubs.organisational-data/AUT/Business, Economics & Law
pubs.organisational-data/AUT/Business, Economics & Law/CBIS
pubs.organisational-data/AUT/Business, Economics & Law/Economics
pubs.organisational-data/AUT/Business, Economics & Law/Economics/Economics PBRF 2012
pubs.organisational-data/AUT/Business, Economics & Law/NZWRI - NZ Work Research Institute
pubs.organisational-data/AUT/Faculty of Business, Economics and Law
pubs.organisational-data/AUT/Faculty of Business, Economics and Law/NZ Work Research Institute
pubs.organisational-data/AUT/Faculty of Business, Economics and Law/School of Economics
pubs.organisational-data/AUT/PBRF
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law/Faculty Review Team PBRF 2018
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law/School of Economics PBRF 2018
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