Master Thesis Online
Market sentiment and the British stock exchange market
Hanser, Tanja 
Promotor(s) :
Bodson, Laurent
Date of defense : 31-Aug-2018 • Permalink : http://hdl.handle.net/2268.2/5669
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| Title : | Market sentiment and the British stock exchange market |
| Author : | Hanser, Tanja
|
| Date of defense : | 31-Aug-2018 |
| Advisor(s) : | Bodson, Laurent
|
| Committee's member(s) : | Lejeune, Thomas
Schweikert, Karsten |
| Language : | English |
| Discipline(s) : | Business & economic sciences > Finance |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en sciences économiques,orientation générale, à finalité spécialisée en Economics and Finance |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[en] Behavioural finance has challenged the efficient market hypothesis by trying to explain stocks’ movements with a notion of sentiment which have been developed in various ways. Recently, social media is used to derive such a sentiment notion. In this thesis specifically, a Twitter sentiment for the British market is developed, compared to other common sentiment measures like put-call ratio, trading index and implied volatility and checked whether one of them can forecast FTSE 100’s returns and volatility. Finally, none of the sentiment seem to impact the British market.
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The University of Liège does not guarantee the scientific quality of these students' works or the accuracy of all the information they contain.