The Impact of Investor Sentiment on Direction of Stock Price Changes: Evidence from the Polish Stock Market
The Impact of Investor Sentiment on Direction of Stock Price Changes: Evidence from the Polish Stock Market

Summary/Abstract: The purpose of this research is to examine the impact of sentiment derived from news headlineson the direction of stock price changes. The study examines stocks listed on the WIG-bankingsub-sector index on the Warsaw Stock Exchange. Two types of data were used: textual and marketdata. The research period covers the years 2015–2018. Through the research, 7,074 observationswere 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 andGaussian Naive Bayes Classifier. Empirical results show that the sentiment of news headlines hasno significant explanatory power for the direction of stock price changes in one-day time frame.

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