In the spectra of pulsating stars, especially Mira stars, the detection of intense hydrogen emission lines has been explained by a radiative shock wave, periodically propagating throughout the atmosphere. Previous observation of the Mira star omicron Ceti around a bright maximum of light led to the detection of a strong linear polarization associated to Balmer emissions, although the origin of this phenomenon is not fully explained yet. With the help of spectropolarimetry, we propose to investigate the nature of shock waves propagating throughout the stellar atmosphere and present, for omicron Ceti (the prototype of Mira stars), a full observational study of hydrogen emission lines formed in the radiative region of such a shock. Using the instrument NARVAL, we performed a spectropolarimetric monitoring of omicron Ceti during three consecutive pulsation cycles. All Stokes parameters were systematically collected, with a particular emphasis on the maxima of luminosity, i.e. when a radiative shock wave is supposed to emerge from the photosphere and propagate outward. On Balmer lines, over a large part of the luminosity cycle, we report detections in Stokes spectra which are evolving with time. These signatures appear to be strongly correlated to the presence of an intense shock wave responsible for the hydrogen emission lines. We establish that those lines are polarized by a process inherent to the mechanism responsible for the emission line formation: the shock wave itself. Two mechanisms are considered: a global one that implies a polarization induced by convective cells located around the photosphere and a local one that implies a charge separation due to the passage of the shock wave, inducing an electrical current. Combined with the existing turbulence, this may generate a magnetic field, hence polarization.