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The industrial asymmetry of the stock price prediction with investor sentiment: Based on the comparison of predictive effects with SVR

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  • Zhenni Jin
  • Kun Guo
  • Yi Sun
  • Lin Lai
  • Zhewen Liao

Abstract

As a representative emerging financial market, the Chinese stock market is more prone to volatility because of investor sentiment. It is reasonable to use efficient predictive methods to analyze the influence of investor sentiment on stock price forecasting. This paper conducts a comparative study about the predictive performance of artificial neural network, support vector regression (SVR) and autoregressive integrated moving average and selects SVR to study the asymmetry effect of investor sentiment on different industry index predictions. After studying the relevant financial indicators, the results divide the Shenwan first‐class industries into two types and show that the industries affected by investor sentiment are composed of young companies with high growth and high operative pressure and there are a great number of investment bubbles in those companies.

Suggested Citation

  • Zhenni Jin & Kun Guo & Yi Sun & Lin Lai & Zhewen Liao, 2020. "The industrial asymmetry of the stock price prediction with investor sentiment: Based on the comparison of predictive effects with SVR," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1166-1178, November.
    • Handle: RePEc:wly:jforec:v:39:y:2020:i:7:p:1166-1178
    DOI: 10.1002/for.2681
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    References listed on IDEAS

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    Cited by:

    1. Jiawen Luo & Oguzhan Cepni & Riza Demirer & Rangan Gupta, 2022. "Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies," Working Papers 202258, University of Pretoria, Department of Economics.

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