Twitter Sentiment and Macrofinance Variables - Indonesia
The dataset contains key variables used in our research "The Bird's Eye View: Predicting the IDX Composite by Twitter and Macroeconomic Variables". These variables are daily count of positive, negative, and neutral sentiment on economic related keywords collected from Twitter, the sentiment scoring using Logit and Relative Proportional Difference, daily prices of international stock indexes such as: Dow Jones Industrial Average (DJIA), Nikkei 225, Hang Sheng Index (HSI), and Shanghai Stock Exchange (SSE), daily price and dummy variable of price movement of IDX Composite. We gather the data based on economic related keywords in Indonesian, covering expressions “Industri” (industry), “Investasi” (investment), “Bisnis” (business), “Kemiskinan” (poverty), “Kartu Prakerja” (Prakerja Card), “Krisis” (crisis), “Ekspor” (export), and “Pengangguran” (unemployment). In total we have roughly 12.8 million tweets and used AMENA for predicting their sentiments.