| Autor: |
Junhui Fu, Xiang Wu, Qingling Zhou, Yufang Liu |
| Rok vydání: |
2020 |
| Předmět: |
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| Zdroj: |
The North American Journal of Economics and Finance. 51:100905 |
| ISSN: |
1062-9408 |
| DOI: |
10.1016/j.najef.2019.01.002 |
| Popis: |
The purpose of this paper is to develop a daily early warning system for stock market crises using daily stock market valuation and investor sentiment indicators. To achieve this goal, we use principal components analysis to propose a comprehensive index of daily market indicators that reflects stock market valuation and investor sentiment. Based on the comprehensive index, we employ a logit model with Ensemble Empirical Mode Decomposition to develop a daily early warning system for stock market crises. Finally, we apply the proposed system to the early warning for stock market crises in China. The in-sample forecasting results show that investor sentiment and the forecast horizon by Ensemble Empirical Mode Decomposition improve the forecasting performance of conventional early warning systems. The out-of-sample forecasting results indicate that the proposed warning system still has a good performance. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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Full Text from ScienceDirect