Investigating the relationship of stock micro blog sentiments in analyzing stock price movements: A case of the Philippine blue chips

Date of Publication

2016

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Jose Mari Lacson

Defense Panel Member

Roberto Camagong

Mar Andriel Umali

Abstract/Summary

Over the last few years, online-based communication platforms have been used to obtain indicators of economic and social trends. With the growing popularity of Twitter and Finance Manila to the investors, its relevance in predicting stock movements was examined. In this study, the proponents aimed to identify the role of micro blog sentiments for the randomly selected blue chip stocks of the Philippine market. In particular, sentiment analysis was performed for over 15,000 online posts using Chung & Liu's Bag of Words (BOW) lexicon model. Results revealed a weak to moderate significant relationship between sentiment features and stock parameters suggesting that sentiments do provide valuable information for most of the stocks sampled. Furthermore, Granger Causality Analysis demonstrated that majority of the causal direction points out to sentiments greatly affecting the stock parameters, which supports the behavioural finance assumptions in proving the presence of irrational noise traders in the market.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU22251

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

146, [4] leaves : illustrations ; 29 cm. + 1 computer disc ; 4 3/4 in.

Keywords

Stock price forecasting--Philippines; Investments-- Psychological aspects

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