Open Access

ARTICLE

Can Twitter Sentiment Gives the Weather of the Financial Markets?

Imen Hamraoui^*, Adel Boubaker

International Finance Group Tunisia, Faculty of Management and Economic Sciences of Tunis Tunisia, El Manar University, Tunis Cedex, C. P. 2092, Tunisia

* Corresponding Author: Imen Hamraoui. Email:

Journal on Big Data 2021, 3(4), 155-173. https://doi.org/10.32604/jbd.2021.018703

Received 06 May 2021; Accepted 17 August 2021; Issue published 20 December 2021

Abstract

Finance 3.0 is still in its infancy. Yet big data represents an unprecedented opportunity for finance. The massive increase in the volume of data generated by individuals every day on the Internet offers researchers the opportunity to approach the question of financial market predictability from a new perspective. In this article, we study the relationship between a well-known Twitter micro-blogging platform and the Tunisian financial market. In particular, we consider, over a 12-month period, Twitter volume and sentiment across the 22 stock companies that make up the Tunindex index. We find a relatively weak Pearson correlation and Granger causality between the corresponding time series over the entire period.

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