Stock Price Prediction with Sentiment Analysis for Chinese Market

Accurate prediction of stock prices is considered as a significant practical challenge and has been a longstanding topic of debate within the economic domain. In recent years, sentiment analysis on social media comments has been considered an important data source for stock prediction. However, most of these works focus on exploring stocks with high market values or from specific industries. The extent to which sentiments affect a broader range of stocks and their overall performance remains uncertain. In this paper, we study the influence of sentiment analysis on stock price prediction with respect to (1) different market value groups and (2) different Book-to-Market ratio groups in the Chinese stock market. To this end, we create a new dataset that consists of 24 stocks across different market value groups and Book-to-Market ratio categories, along with 12,000 associated comments that have been collected and manually annotated. We then utilized this dataset to train a variety of sentiment classifiers, which were subsequently integrated into sequential neural-based models for stock price prediction. Experimental findings indicate that while sentiment integration generally improve the predictive performance for price prediction, it may not consistently lead to better results for individual stocks. Moreover, these outcomes are notably influenced by varying market values and Book-to-Market ratios, with stocks of higher market values and B/M ratios often exhibiting more accurate predictions. Among all the models tested, the Bi-LSTM model incorporated with the sentiment analysis, achieves the best prediction performance.