The Impact of Investor Sentiment on Direction of Stock Price Changes: Evidence from the Polish Stock Market
The purpose of this research is to examine the impact of sentiment derived from news headlines on the direction of stock price changes. The study examines stocks listed on the WIG-banking sub-sector index on the Warsaw Stock Exchange. Two types of data were used: textual and market data. The rese...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
University of Warsaw
2021-12-01
|
| Series: | Journal of Banking and Financial Economics |
| Subjects: | |
| Online Access: | https://press.wz.uw.edu.pl/cgi/viewcontent.cgi?article=1024&context=jbfe |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | The purpose of this research is to examine the impact of sentiment derived from news headlines
on the direction of stock price changes. The study examines stocks listed on the WIG-banking
sub-sector index on the Warsaw Stock Exchange. Two types of data were used: textual and market
data. The research period covers the years 2015–2018. Through the research, 7,074 observations
were investigated, of which 3,390 with positive sentiment, 2,665 neutral, and 1,019 negative.
In order to examine the predictive power of sentiment, six machine learning models were used:
Decision Tree Classifier, Random Forest Classifier, XGBoost Classifier, KNN Classifier, SVC and
Gaussian Naive Bayes Classifier. Empirical results show that the sentiment of news headlines has
no significant explanatory power for the direction of stock price changes in one-day time frame. |
|---|---|
| ISSN: | 2353-6845 |