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...
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| Format: | Article |
| Language: | English |
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University of Warsaw
2021-12-01
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| Series: | Journal of Banking and Financial Economics |
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| Online Access: | https://press.wz.uw.edu.pl/cgi/viewcontent.cgi?article=1024&context=jbfe |
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| _version_ | 1841562945784381440 |
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| author | Kamil Polak |
| author_facet | Kamil Polak |
| author_sort | Kamil Polak |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-b3c7568931cc4fa099211d116957977e |
| institution | Kabale University |
| issn | 2353-6845 |
| language | English |
| publishDate | 2021-12-01 |
| publisher | University of Warsaw |
| record_format | Article |
| series | Journal of Banking and Financial Economics |
| spelling | doaj-art-b3c7568931cc4fa099211d116957977e2025-01-03T00:36:14ZengUniversity of WarsawJournal of Banking and Financial Economics2353-68452021-12-0120212(16)729010.7172/2353-6845.jbfe.2021.2.4The Impact of Investor Sentiment on Direction of Stock Price Changes: Evidence from the Polish Stock MarketKamil Polak0https://orcid.org/0000-0002-9897-8431Kozminski University, Warsaw, PolandThe 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.https://press.wz.uw.edu.pl/cgi/viewcontent.cgi?article=1024&context=jbfesentiment analysisnatural language processingmachine learningfinancial forecastingbehavioral finance |
| spellingShingle | Kamil Polak The Impact of Investor Sentiment on Direction of Stock Price Changes: Evidence from the Polish Stock Market Journal of Banking and Financial Economics sentiment analysis natural language processing machine learning financial forecasting behavioral finance |
| title | The Impact of Investor Sentiment on Direction of Stock Price Changes: Evidence from the Polish Stock Market |
| title_full | The Impact of Investor Sentiment on Direction of Stock Price Changes: Evidence from the Polish Stock Market |
| title_fullStr | The Impact of Investor Sentiment on Direction of Stock Price Changes: Evidence from the Polish Stock Market |
| title_full_unstemmed | The Impact of Investor Sentiment on Direction of Stock Price Changes: Evidence from the Polish Stock Market |
| title_short | The Impact of Investor Sentiment on Direction of Stock Price Changes: Evidence from the Polish Stock Market |
| title_sort | impact of investor sentiment on direction of stock price changes evidence from the polish stock market |
| topic | sentiment analysis natural language processing machine learning financial forecasting behavioral finance |
| url | https://press.wz.uw.edu.pl/cgi/viewcontent.cgi?article=1024&context=jbfe |
| work_keys_str_mv | AT kamilpolak theimpactofinvestorsentimentondirectionofstockpricechangesevidencefromthepolishstockmarket AT kamilpolak impactofinvestorsentimentondirectionofstockpricechangesevidencefromthepolishstockmarket |