Granger causality analysis between twitter sentiment and daily stock returns

• Main Authors: Huang, Jun Xiang, Lim, Aaron Yue Feng, Quek, JunFeng
• Other Authors: Wu Guiying Laura
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2020
• Subjects: Social sciences::Economic development
• Online Access: https://hdl.handle.net/10356/138490
• Institution: Nanyang Technological University

Textual data potentially carries information not found in quantitative data but is equally invaluable for financial analyses. This paper utilises sentiment analysis to examine the predictive value that Twitter posts (tweets) have on US equity returns. We assess the sentiment of tweets that mention s...