Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/313450 
Authors: 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Banking and Financial Economics (JBFE) [ISSN:] 2353-6845 [Issue:] 16 [Year:] 2021 [Pages:] 72-90
Publisher: 
University of Warsaw, Faculty of Management, Warsaw
Abstract: 
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.
Subjects: 
sentiment analysis
natural language processing
machine learning
financial forecasting
behavioral finance
JEL: 
G14
G17
G41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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