کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069586 1476991 2015 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators
چکیده انگلیسی


- We define a severe simultaneous bear stock market.
- We examine the predictability of severe simultaneous bear stock markets.
- We find that some US macroeconomic variables can serve as leading indicators.

This paper investigates the predictability of severe simultaneous bear stock markets in 10 industrialized countries. Based on a set of US macroeconomic variables, all of the in-sample and out-of-sample results from probit models with a single macroeconomic variable and with more than one macroeconomic variables confirm that severe simultaneous bear stock markets are indeed predictable. In particular, while the inflation rate is the strongest predictor at longer forecast horizons, the relative long-term government bond yield and the stock return perform best at shorter forecast horizons.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 13, May 2015, Pages 196-204
نویسندگان
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