1.
Mohammad Shameem Jawed
– Ssistant Professor (finance & Accounting), Iim Visakhapatnam, Andhra Pradesh
2.
Archit V. Tapar & Amol S. Dhaigude
– Ssistant Professor (finance & Accounting), Iim Visakhapatnam, Andhra Pradesh
Abstract
In this study we analyzed sentiments
of the people in terms of Happiness
Index calculated based on twitter
discussions. We used most liquid
composite stock indices from India -
Nifty50, CNX Midcap, CNX
Smallcap and many sectoral indices.
The study was conducted for the
period – 2014-2018, on daily data.
We used bivariate Vector Auto-Regressive
(VAR) framework to test
Granger causality of the Sentiments
measured as Happiness Index with
the next day’s market returns. Key
findings of the study suggest that
SmallCap and Nifty50 show marginal
relationship with previous
day’s happiness scores, while
amongst sectoral indices only Financial
Services and Automotive
sector are significantly prone to get
impacted by sentiments.
