scholarly journals Sticky Stock Market Analysts

2021 ◽  
Vol 14 (12) ◽  
pp. 593
Author(s):  
Ibrahim Filiz ◽  
Jan René Judek ◽  
Marco Lorenz ◽  
Markus Spiwoks
Keyword(s):  
Stock Market ◽  
Investment Strategies ◽  
Stock Market Index ◽  
Market Index ◽  
German Stock ◽  
Long Term Trends ◽  
German Stock Market ◽  
Better Than

Technological progress in recent years has made new methods available for making forecasts in a variety of areas. We examine the success of ex-ante stock market forecasts of three major stock market indices, i.e., the German Stock Market Index (DAX), the Dow Jones Industrial Index (DJI), and the Euro Stoxx 50 (SX5E). We test whether the forecasts prove true when they reach their effective dates and are therefore suitable for active investment strategies. We revive the thoughts of the American sociologist William Fielding Ogburn, who argues that forecasters consistently underestimate the variability of the future. In addition, we draw on some contemporary measures of forecast quality (prediction-realization diagram, test of unbiasedness, and Diebold–Mariano test). We reveal that (a) unusual events are underrepresented in the forecasts, (b) the dispersion of the forecasts lags behind that of the actual events, (c) the slope of the regression lines in the prediction-realization diagram is <1, (d) the forecasts are highly biased, and (e) the quality of the forecasts is not significantly better than that of naïve forecasts. The overall behavior of the forecasters can be described as “sticky” because their forecasts adhere too strongly to long-term trends in the indices and are thus characterized by conservatism.

scholarly journals Geometric Case Based Reasoning for Stock Market Prediction

2020 ◽  
Vol 12 (17) ◽  
pp. 7124
Author(s):  
Se-Hak Chun ◽  
Young-Woong Ko
Keyword(s):  
Stock Market ◽  
Nearest Neighbors ◽  
Percentage Error ◽  
Case Based Reasoning ◽  
Stock Market Index ◽  
Distance Method ◽  
Market Index ◽  
Shape Distance ◽  
Case Based ◽  
Better Than

Case based reasoning is a knowledge discovery technique that uses similar past problems to solve current new problems. It has been applied to many tasks, including the prediction of temporal variables as well as learning techniques such as neural networks, genetic algorithms, decision trees, etc. This paper presents a geometric criterion for selecting similar cases that serve as an exemplar for the target. The proposed technique, called geometric Case Based Reasoning, uses a shape distance method that uses the number of sign changes of features for the target case, especially when extracting nearest neighbors. Thus, this method overcomes the limitation of conventional case-based reasoning in that it uses Euclidean distance and does not consider how nearest neighbors are similar to the target case in terms of changes between previous and current features in a time series. These concepts are investigated against the backdrop of a practical application involving the prediction of a stock market index. The results show that the proposed technique is significantly better than the random walk model at p < 0.01. However, it was not significantly better than the conventional CBR model in the hit rate measure and did not surpass the conventional CBR in the mean absolute percentage error.

scholarly journals Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China

2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
Rong-Gang Cong ◽  
Shaochuan Shen
Keyword(s):  
Stock Market ◽  
Energy Price ◽  
Stock Market Index ◽  
Price Shocks ◽  
Market Index ◽  
Time Period ◽  
Long Term Effect ◽  
Lag Effect ◽  
The Interest Rate

This paper investigates the interactive relationships among China energy price shocks, stock market, and the macroeconomy using multivariate vector autoregression. The results indicate that there is a long cointegration among them. A 1% rise in the energy price index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also cause inflation and have a 5-month lag effect on stock market, which may result in the stock market “underreacting.” The energy price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should pay greater attention to the long-term effect of energy on the stock market.

Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose / Announcement of Business Cycle Forecasts and the Reaction of the German Stock Market

2007 ◽  
Vol 227 (1) ◽  
Author(s):  
Horst Entorf ◽  
Christian Steiner
Keyword(s):  
New York ◽  
Stock Market ◽  
Business Cycle ◽  
High Efficiency ◽  
Stock Exchange ◽  
Good News ◽  
Stock Market Index ◽  
Stock Market Returns ◽  
German Stock ◽  
German Stock Market

SummaryWe study the response of the German stock market index DAX to the announcement of macroeconomic business cycle forecasts. Returns are computed using high-frequency data observed for 15-second intervals. Publications of macroeconomic US indicators at 2:30 p.m. (CET) have temporary and opening of the New York Stock Exchange at 3:30 p.m. (CET) have permanent effects on the volatility of the German DAX. Moreover, the intraday volatility of the DAX index has a U-shaped form, which has also been identified for other international stock markets. Major reactions of both returns and volatility occur within the first 15 to 60 seconds after the announcement, revealing a high efficiency of the German capital market. Unanticipated shocks cause asymmetric stock market returns: “good” news lead to more pronounced reactions than “bad” news. Moreover, there is evidence of mean reversion and calm-before-thestorm effects. Finally, serial correlation of returns is found to be a potentially spurious result of non-anticipated announcements of macroeconomic news.

scholarly journals Long Term Inter- And Intra-Regional Stochastic Trends To Middle East And North African Capital Markets

2011 ◽  
Vol 3 (2) ◽  
Author(s):  
Eric Girard ◽  
Eurico J. Ferreira
Keyword(s):  
Middle East ◽  
Stock Market ◽  
Capital Markets ◽  
Asset Allocation ◽  
North African ◽  
Stock Market Index ◽  
Strategic Asset Allocation ◽  
Market Index ◽  
Stochastic Trends

This paper investigates the contribution of Middle East and North African (MENA) capital markets to global strategic asset allocation. Eleven MENA stock markets are examined from January 1st, 1990 to December 30th, 2001. Cointegration studies are conducted on daily, weekly and monthly stock market index price to investigate long-term market linkages. Our results indicate few pairwise stochastic trends between markets, but no common long-term co-movements. We suggest that MENA markets provide diversification potentials for the global investor and should not be treated as a block for global strategic asset allocation purposes.

TRENDS IN THE DEVELOPMENT OF THE SECURITIES MARKET

2015 ◽  
Vol 4 (4) ◽  
pp. 88-94
Author(s):  
Никитина ◽  
Yu. Nikitina
Keyword(s):  
Stock Market ◽  
Securities Market ◽  
Real Sector ◽  
Stock Market Index ◽  
The Real ◽  
Market Index ◽  
The Us ◽  
Tremendous Impact ◽  
Domestic Stock

Nowadays the stock market has a tremendous impact on the economy of any country. The volume and structure of investment in the real sector of the economy depends on its efficiency. The author made an analysis of the market capitalization of the Russian securities market for 2011-2015. Based on RTS and MICEX indices, a correlation between changes in the value of the Russian securities market and the dynamics of such indicators as the pair dollar / ruble, the US stock market index S &amp; P500, the price of a barrel of oil by Brent is showed. The tendencies of development of the domestic stock market in the long term are examined.

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