This research will propose a new media and investment sentiment index which can be used as a leading indicator for the Stock Exchange of Thailand (SET). Big Data from online and social media sources, where information relating to SET50 companies is reported, will be used to develop the indicator. In particular, the information that we are interested is investors’ sentiment information appeared in online and social media in Thai language. To our knowledge, this project will be the first to analyse the effect of media and investors’ sentiment on stock markets using Thai language as the input. The SET may use the media and investment sentiment index developed within this project to enhance the effectiveness in monitoring and predicting the market movement. Given that Thai stock market indexes are leading indicators for Thai economic outlook, investors and policymakers can also use this proposed index as a leading indicator to monitor and forecast Thai economic growth.

New information is believed to affect the movement of stock market. A plethora of studies have done on stock market reaction to companies’ announcements. However, the booming of online and social media has shorten the time that new information becomes available to investors and contributed to a broader set of information that can be used by investors to make investment decisions. It also facilitates the availability of opinion-led information sources, in addition to factual information from companies’ announcement, that the public can use to form their investment decisions. The information from these sources (i.e. social media platforms, personal blogs, and forums), consequently, could have impact on the movement of stock prices.

The majority of research exploring the relationship between market reaction and tonal information from online and social media has been done in the context of English language. To our knowledge, this project is the first study to explore such relationship in the context of Thai language. The scope of this project will cover the information relating to SET50 companies between 2014 and 2018. Selected online and social media websites are used as information sources for this project. The result from this project will not only benefit local investors, but also foreign investors as it will potentially provide a simplified leading indicator derived from sentiment derived from online and social media sources.