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Does Twitter Affect Stock Market Decisions?Financial Sentiment Analysis In Pandemic Seasons: A Comparative Study Of H1N1 And COVID-19

David Valle-Cruz, Vanessa Fernandez-Cortez, Asdrúbal López-Chau, Rodrigo Sandoval-Almazan

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Abstract Backgroud:Investors are always playing with the fears and desires of buyers and sellers. Stock exchange markets are not the exception. Financial sentiment analysis allows us to understand the effect of reactions and emotions on social media in the stock market. In this research, we analyze Twitter data and financial indices to answer the question: How do polarity generated by the posts on Twitter influence financial indices behavior in pandemic seasons? Methods:The study is based on the sentiment analysis of influential Twitter accounts in this field and its relationship with the behavior of important financial indices. To achieve this, we tested four lexicons to detect polarity on Twitter. Results:Our findings shows that the period in which the markets reacted was 6 to 13 days after the information was shared and disseminated on Twitter in the COVID-19 season, and 1 to 2 day for H1N1 season. Furthermore, in our analysis, we found that the lexicons that got the best results for sentiment analysis on Twitter were S140 and Affin.Conclusions:Financial sentiment analysis is an important technique to forecasting stock market and polarity is the most widely used technique in the financial area. There is a relationship between the polarity in Twitter and the financial indexes behavior. The most influential Twitter accounts during the pandemic season were The New York Times, Bloomberg, CNN News, and Investing, presenting a very high relation between sentiments on Twitter and the stock market behavior.