Stock Market Tweets Data

Twitter RAW data was downloaded using the Twitter REST API search, namely the "Tweepy (version 3.8.0)" Python package, which was created to make the interaction between the REST API and the developers easier. The Twitter REST API only retrieves data from the past seven days and allows to filter tweets by language. The tweets retrieved were filtered out for the English (en) language. Data collection was performed from April 9 to July 16, 2020, using the following Twitter tags as search parameter: #SPX500, #SP500, SPX500, SP500, $SPX, #stocks, $MSFT, $AAPL, $AMZN, $FB, $BBRK.B, $GOOG, $JNJ, $JPM, $V, $PG, $MA, $INTC $UNH, $BAC, $T, $HD, $XOM, $DIS, $VZ, $KO, $MRK, $CMCSA, $CVX, $PEP, $PFE. Due to the large number of data retrieved in the RAW files, it was necessary to store only each tweet's content and creation date.

The file tweets_labelled_09042020_16072020.csv consists of 5,000 tweets selected using random sampling out of the 943,672 sampled. Out of those 5,000 tweets, 1,300 were manually annotated and reviewed by a second independent annotator. The file tweets_remaining_09042020_16072020.csv contains the remaining 938,672 tweets.