I have collected data from Twitter, Google and Wikipedia to look for any correlations (and perhaps predictive value) against the stock market.
I have collected daily Twitter, Google and Wikipedia data for 148 days. In regression analysis, I am using a dummy variable, "sector". All 100 companies from which I have collected data can be classified in one of 6 industry sectors.
Now, I started thinking that a regression analysis may be much stronger for companies that have had higher news coverage. It is acceptable to think that if there's much news about a company, people tend to tweet more about that company.
I have collected news headlines mentioning each of the 100 companies over the same 148 days. There are many days for many of the companies on which there is no news at all, so trying to correlate non-news days to number of tweets for instance, doesn't seem logical.
I have now aggregated all the headlines, for instance: during the 148 days, there were 846 headlines about Apple, 137 about Microsoft and 0 about Abbott Laboratories. I'm now thinking to of adding a dummy variable to the dataset, something like
dNews100, meaning companies with less than 10 news articles, 10 to 100 articles, etc.
Would this be an acceptable variable to add to the analysis? Usually, as I have been taught, dummies are properties to the research subject (man: hight, sex, eye-color, etc.). I don't know if news coverage would qualify.