Author's note: Trying to find Alpha in the world of alphabets and characters
The depository is intended to research the effect of Twitter sentiment on environmental issues and the relationship with stock market activities. It is established in conjunction with Master's dissertation at London School of Economics (LSE) of the title Agenda Setting: Twitter Discourse on Climate Change as Signal and Catalyst.
It is divided into two parts:
- Data collection (/twitter_scraping directory)
- Data analyzation (/processing directory)
Twitter data available at Harvard Dataverse: https://doi.org/10.7910/DVN/LNNPVD
Download twitter data into path: "data/1_Tweet_IDs.csv" Twitter sentiment through VADER at "data/tweet_sentiment.csv" omitted in git due to size
Monthly WTI Crude Spot: https://www.eia.gov/opendata/v1/qb.php?sdid=PET.RWTC.M
Monthly Temperature: https://www.ncdc.noaa.gov/cdo-web/datasets
Note: Equity data in the following Excel files requires Bloomberg BQL: all_etf_nav.xlsx clean_selected.xlsx green_etf_flow.xlsx oil_gas_coal_selected.xlsx utilities_selected.xlsx