Study of JKSE Stock Price Movement Using News Sentiment Analysis

Abstract

Stock market prediction has been a popular research for the past few years. Stock
price movement is determined by the behavior and the decisions that made by the investors.
How can investors make a decision to buy, to sell, or to hold? They act based on the event that is
happening that affects the stock itself and there goes the News Sentiment Analysis. Sentiment
Analysis of the news articles is one interesting method to predict the stock price movement. The
purpose of this research is to see whether there is a significant correlation between news
sentiment and stck price movement. This research is using Pearson's Product Moment
Correlation Coefficient to test the correlation value between news sentiment and stock price
movement. The result shown that all of sectors in JKSE (Jakarta Stock Exchange Composite
Index) yielded a positive correlation value between the news sentiment for most of the sectors
with “very weak” level of correlation (0.00-0.19) except, in the ^JKCONS (Consumer Goods
sector), the value is on the “weak” level with value 0.222 and in the^JKMING (Mining sector),
the value is on the “weak” level with value-0.301.