What do Sentiments of Budget Speech Mean for Stock Returns?

In this dataset, we have compiled the unstructured data of Annual Indian Budget Speeches (AIBS) from 1991 to 2024, which has been further used to quantify the budget speech sentiments in terms of polarity and subjectivity. The AIBS data extracts the word cloud and word count, governments' term-wise policy analysis, their focus, and thematic shifts. This dataset also contains the daily SENSEX data from 01-07-1997 to 26-07-2024, which is extracted from yahoofinance using Python programming. Furthermore, both the sentiments and the SENSEX data have been merged to study the impact of sentiments on stock returns.