Are Stock Markets Driven More by Sentiments than Efficiency?

Lasek, M.; Lasek, J.

Journal of Engineering, Project, and Production Management, 2016, 6(1), 53-62

Are Stock Markets Driven More by Sentiments than Efficiency?

Miroslawa Lasek¹ and Jan Lasek²

¹Professor, Department of Information Systems and Economic Analysis, Faculty of Economic Sciences, University of Warsaw, ul. Długa 44/50, 00-241 Warsaw, Poland.

²PhD Student, Interdisciplinary PhD Studies, Institute of Computer Science, Polish Academy of Sciences, ul. Jana Kazimierza 5, 01-248 Warsaw, Poland. E-mail: janek.lasek@gmail.com (corresponding author).

Production Management

Received August 12, 2014; received revision December 8, 2014; accepted January 8, 2015

Available online April 28, 2015

Abstract: In this paper, we investigate whether the sentiment contained in text of news items influences a company’s stock price. With the means of sentiment analysis, a quantitative approach for measuring sentiment in text, we derive scores for positive and negative sentiment contained in news. Next, we relate these quantities to stock market prices. By regression analysis we show that the sentiment contained in text of news items affects a company’s stock prices. This reveals that human sentiments influence capital markets and shows the potential of sentiment analysis as a quantitative approach to measure opinion with possible applications in e.g. public opinion tracking or brand and product management.

Keywords: Behavioral finance, capital market, news items, sentiment, sentiment analysis.

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivs 4.0 Unported License.

Requests for reprints and permissions at eppm.journal@gmail.com.

Citation: Lasek, M. and Lasek, J. (2016). Are Stock Markets Driven More by Sentiments than Efficiency? Journal of Engineering, Project, and Production Management, 6(1), 53-62.

DOI: 10.32738/JEPPM.201601.0005

Full Text