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Forecasting stock indices: a comparison of classification and level estimation models

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  • Leung, Mark T.
  • Daouk, Hazem
  • Chen, An-Sing
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    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 16 (2000)
    Issue (Month): 2 ()
    Pages: 173-190

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    Handle: RePEc:eee:intfor:v:16:y:2000:i:2:p:173-190

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    1. Basu, S, 1977. "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis," Journal of Finance, American Finance Association, vol. 32(3), pages 663-82, June.
    2. Huizinga, John, 1987. "An empirical investigation of the long-run behavior of real exchange rates," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 27(1), pages 149-214, January.
    3. Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. " Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, vol. 46(5), pages 1739-64, December.
    4. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
    5. Yang, Z. R. & Platt, Marjorie B. & Platt, Harlan D., 1999. "Probabilistic Neural Networks in Bankruptcy Prediction," Journal of Business Research, Elsevier, vol. 44(2), pages 67-74, February.
    6. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    7. Zhang, Guoqiang & Eddy Patuwo, B. & Y. Hu, Michael, 1998. "Forecasting with artificial neural networks:: The state of the art," International Journal of Forecasting, Elsevier, vol. 14(1), pages 35-62, March.
    8. Yangru Wu & Hua Zhang, 1997. "Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 609-623, August.
    9. Mankiw, N. Gregory & Campbell, John, 1987. "Permanent and Transitory Components in Macroeconomic Fluctuations," Scholarly Articles 3207697, Harvard University Department of Economics.
    10. Campbell, John, 1987. "Stock Returns and the Term Structure," Scholarly Articles 3207699, Harvard University Department of Economics.
    11. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
    12. Josef Lakonishok & Andrei Shleifer & Robert W. Vishny, 1993. "Contrarian Investment, Extrapolation, and Risk," University of Chicago - George G. Stigler Center for Study of Economy and State 84, Chicago - Center for Study of Economy and State.
    13. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
    14. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    15. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
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    17. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    18. Kato, Kiyoshi & Schallheim, James S., 1985. "Seasonal and Size Anomalies in the Japanese Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(02), pages 243-260, June.
    19. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    20. Jaffe, Jeffrey & Westerfield, Randolph, 1985. "Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(02), pages 261-272, June.
    21. Chopra, Navin & Lakonishok, Josef & Ritter, Jay R., 1992. "Measuring abnormal performance : Do stocks overreact?," Journal of Financial Economics, Elsevier, vol. 31(2), pages 235-268, April.
    22. Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-54, June.
    23. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    24. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
    25. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
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    Cited by:
    1. Henri Nyberg, 2010. "Testing an autoregressive structure in binary time series models," Economics Bulletin, AccessEcon, vol. 30(2), pages 1460-1473.
    2. Olson, Dennis & Mossman, Charles, 2003. "Neural network forecasts of Canadian stock returns using accounting ratios," International Journal of Forecasting, Elsevier, vol. 19(3), pages 453-465.
    3. David McMillan, 2004. "Non-linear predictability of UK stock market returns," Money Macro and Finance (MMF) Research Group Conference 2003 63, Money Macro and Finance Research Group.
    4. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
    5. David G. McMillan, 2005. "Is non-linearity a permanent feature? Evidence from recursive and rolling estimation," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(4), pages 229-232, July.
    6. Elsy Gómez-Ramos & Francisco Venegas-Martínez, 2013. "A Review of Artificial Neural Networks: How Well Do They Perform in Forecasting Time Series?," Analítika, Analítika - Revista de Análisis Estadístico/Journal of Statistical Analysis, vol. 6(2), pages 7-15, Diciembre.
    7. Chi, Li-Chiu & Tang, Tseng-Chung, 2007. "Impact of reorganization announcements on distressed-stock returns," Economic Modelling, Elsevier, vol. 24(5), pages 749-767, September.
    8. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    9. Manish KUMAR, 2009. "Exploiting The Information Of Stock Market To Forecast Exchange Rate Movements," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 56, pages 563-575, November.
    10. Chevapatrakul, Thanaset, 2013. "Return sign forecasts based on conditional risk: Evidence from the UK stock market index," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2342-2353.
    11. Nyberg, Henri, 2011. "Forecasting the direction of the US stock market with dynamic binary probit models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 561-578, April.
    12. McMillan, David G., 2005. "Non-linear dynamics in international stock market returns," Review of Financial Economics, Elsevier, vol. 14(1), pages 81-91.
    13. McMillan, David G., 2007. "Non-linear forecasting of stock returns: Does volume help?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 115-126.
    14. Zhang, Xinyu & Lu, Zudi & Zou, Guohua, 2013. "Adaptively combined forecasting for discrete response time series," Journal of Econometrics, Elsevier, vol. 176(1), pages 80-91.
    15. David McMillan & Alan Speight, 2006. "Non-linear long horizon returns predictability: evidence from six south-east Asian markets," Asia-Pacific Financial Markets, Springer, vol. 13(2), pages 95-111, June.
    16. Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3351-3363.
    17. Parisi, Antonino & Parisi, Franco & Díaz, David, 2008. "Forecasting gold price changes: Rolling and recursive neural network models," Journal of Multinational Financial Management, Elsevier, vol. 18(5), pages 477-487, December.
    18. Nyberg, Henri, 2010. "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper 23724, University Library of Munich, Germany.
    19. Wu-Jen Chuang & Liang-Yuh Ou-Yang & Wen-Chen Lo, 2009. "Nonlinear Market Dynamics Between Stock Returns And Trading Volume: Empirical Evidences From Asian Stock Markets," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 56, pages 621-634, November.
    20. Chin-Shien Lin & Haider Ali Khan & Chi-Chung Huang, 2002. "Can the neuro fuzzy model predict stock indexes better than its rivals?," CIRJE F-Series CIRJE-F-165, CIRJE, Faculty of Economics, University of Tokyo.
    21. Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta, 2013. "Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions," Working Papers 201385, University of Pretoria, Department of Economics.
    22. Bozos, Konstantinos & Nikolopoulos, Konstantinos, 2011. "Forecasting the value effect of seasoned equity offering announcements," European Journal of Operational Research, Elsevier, vol. 214(2), pages 418-427, October.
    23. Hugo Roberto Balacco & Gustavo Germán Maradona, 2011. "Modelización y predicción de series de tiempo financieras utilizando redes neuronales," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 0, pages 3-23, January-D.

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