Detail práce

Presidential rhetoric, sentiment and their relation to stock markets

Autor: Bc. Mária Partelová
Rok: 2017 - letní
Vedoucí: PhDr. Boril Šopov, MSc., LL.M.
Konzultant:
Typ práce: Bakalářská
Jazyk: Anglicky
Stránky: 74
Ocenění:
Odkaz: https://is.cuni.cz/webapps/zzp/detail/185475/
Abstrakt: This thesis intends to uncover the linkages between the emotions contained within remarks of the
president of the United States expressed on Twitter and movements of the stock market indices. The daily
comments of the two consecutive presidents, Barack Obama and Donald Trump are annotated with
sentiment intensity values using the lexicon-based model called VADER. Our analysis further focuses on
testing for Granger causality using the bivariate vector autoregression. Overall, three major stock market
indices are employed in testing, namely DJIA, S&P 500 and NASDAQ. The results yield a statistically
significant Granger causal relationship in the case of the first differences of DJIA and S&P 500 logarithms
with time series of Barack Obama’s sentiment values.

Partneři

ČSOB
Deloitte
McKinsey & Company

Sponzoři

CRIF