The impact of investor sentiment on direction of stock price changes: Evidence from the Polish stock market

Polak, Kamil Article The impact of investor sentiment on direction of stock price changes: Evidence from the Polish stock market Journal of Banking and Financial Economics (JBFE) Provided in Cooperation with: Faculty of Management, University of Warsaw Suggested Citation: Polak, Kamil (2021) : The impact of investor sentiment on direction of stock price changes: Evidence from the Polish stock market, Journal of Banking and Financial Economics (JBFE), ISSN 2353-6845, University of Warsaw, Faculty of Management, Warsaw, Iss. 16, pp. 72-90, https://doi.org/10.7172/2353-6845.jbfe.2021.2.4 This Version is available at: https://hdl.handle.net/10419/313450 Standard-Nutzungsbedingungen: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. 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This is an open access article distributed under the Creative Commons BY 4.0 license (https://creativecommons.org/licenses/by/4.0/) Journal of Banking and Financial Economics 2(16)2021 , 72–90 The Impact of Investor Sentiment on Direction of Stock Price Changes: Evidence from the Polish Stock Market Kamil Polak £ȱ¢ǰȱǰȱ ǯȓ£ǯǯ ĴDZȦȦǯȦŖŖŖŖȬŖŖŖŘȬşŞşŝȬŞŚřŗ ABSTRACT 7KHSXUSRVHRIWKLVUHVHDUFKLVWRH[DPLQHWKHLPSDFWRIVHQWLPHQWGHULYHGIURPQHZVKHDGOLQHV RQWKHGLUHFWLRQRIVWRFNSULFHFKDQJHV7KHVWXG\H[DPLQHVVWRFNVOLVWHGRQWKH:,*EDQNLQJ VXEVHFWRULQGH[RQWKH:DUVDZ6WRFN([FKDQJH7ZRW\SHVRIGDWDZHUHXVHGWH[WXDODQGPDUNHW GDWD7KHUHVHDUFKSHULRGFRYHUVWKH\HDUV±7KURXJKWKHUHVHDUFKREVHUYDWLRQV ZHUHLQYHVWLJDWHGRIZKLFKZLWKSRVLWLYHVHQWLPHQWQHXWUDODQGQHJDWLYH ,QRUGHUWRH[DPLQHWKHSUHGLFWLYHSRZHURIVHQWLPHQWVL[PDFKLQHOHDUQLQJPRGHOVZHUHXVHG 'HFLVLRQ7UHH&ODVVL¿HU5DQGRP)RUHVW&ODVVL¿HU;*%RRVW&ODVVL¿HU.11&ODVVL¿HU69&DQG *DXVVLDQ1DLYH%D\HV&ODVVL¿HU(PSLULFDOUHVXOWVVKRZWKDWWKHVHQWLPHQWRIQHZVKHDGOLQHVKDV QRVLJQL¿FDQWH[SODQDWRU\SRZHUIRUWKHGLUHFWLRQRIVWRFNSULFHFKDQJHVLQRQHGD\WLPHIUDPH -(/&ODVVL¿FDWLRQ*** KeywordsVHQWLPHQWDQDO\VLVQDWXUDOODQJXDJHSURFHVVLQJPDFKLQHOHDUQLQJ¿QDQFLDOIRUHFDVWLQJ EHKDYLRUDO¿QDQFH 1. 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CONCLUSION 7KHREMHFWLYHRIWKHUHVHDUFKZDVWRH[DPLQHWKHLPSDFWRIVHQWLPHQWGHULYHGIURPQHZV KHDGOLQHVIRUVWRFNSULFHSUHGLFWLRQVRQWKH:,*EDQNLQJVXEVHFWRULQGH[7KHWH[WGDWDDVZHOO DVPDUNHWGDWDZHUHGHULYHGIURPWKH,QIR6WUHIDZHEVLWHRZQHGE\WKH3ROLVK3UHVV$JHQF\DQG WKH:DUVDZ6WRFN([FKDQJH7KHUHVHDUFKSHULRGLV±UHSUHVHQWLQJDWRWDO RIVHVVLRQGD\V 7RH[DPLQHWKHLPSDFWRIVHQWLPHQWVL[PDFKLQHOHDUQLQJPRGHOVZHUHXVHG'HFLVLRQ7UHH &ODVVL¿HU5DQGRP)RUHVW&ODVVL¿HU;*%RRVW&ODVVL¿HU.11&ODVVL¿HU69&DQG*DXVVLDQ 1DLYH%D\HV&ODVVL¿HU (PSLULFDOUHVXOWVVKRZWKDWHDFKPRGHODFKLHYHGERWKDFFXUDF\DQG$8&DERYHLH DJRRGDELOLW\WRSUHGLFWWKHGLUHFWLRQRISULFHFKDQJHLQRQHGD\WLPHKRUL]RQ)XUWKHUPRUH EDVHGRQWKHDQDO\VLVRIOHDUQLQJFXUYHVLWZDVDVVHVVHGWKDWQRQHRIWKHPRGHOVZDVD൵HFWHGE\ XQGHU¿WWLQJRURYHU¿WWLQJ +RZHYHUWKHUHVXOWVRIIHDWXUHLPSRUWDQFHDQDO\VLVVKRZWKDWIRUHDFKRIWKHPRGHOYDULDEOH 6(17,0(17ZKLFKFRQWDLQVLQIRUPDWLRQDERXWHPRWLRQDODWWLWXGHKDGQRVLJQL¿FDQWLPSDFWRQ LWVFODVVL¿FDWLRQSHUIRUPDQFH7KXVLWFDQQRWEHFRQFOXGHGWKDWVHQWLPHQWRIQHZVKHDGOLQHVKDV DVLJQL¿FDQWLPSDFWRQVWRFNSULFHFKDQJHV Kamil Polak Journal of Banking and Financial Economics 2(16)2021 , 72–90 DOI: 10.7172/2353-6845.jbfe.2021.2.4 87 87 © 2021 Authors. 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