Predicting stock market crises using investor sentiment indicators
| Autor: | Mgr. Kateřina Havelková |
|---|---|
| Rok: | 2020 - letní |
| Vedoucí: | PhDr. Jiří Kukačka Ph.D. |
| Konzultant: | |
| Typ práce: | Diplomová Finance, finanční trhy a bankovnictví |
| Jazyk: | Anglicky |
| Stránky: | 117 |
| Ocenění: | Ocenění DOT Award za vynikající diplomovou práci. |
| Odkaz: | https://is.cuni.cz/webapps/zzp/detail/213865/ |
| Abstrakt: | Using an early warning system (EWS) methodology, this thesis analyses the predictability of stock market crises from the perspective of behavioural fnance. Specifcally, in our EWS based on the multinomial logit model, we consider investor sentiment as one of the potential crisis indicators. Identifcation of the relevant crisis indicators is based on Bayesian model averaging. The empirical results reveal that price-earnings ratio, short-term interest rate, current account, credit growth, as well as investor sentiment proxies are the most relevant indicators for anticipating stock market crises within a one-year horizon. Our thesis hence provides evidence that investor sentiment proxies should be a part of the routinely considered variables in the EWS literature. In general, the predictive power of our EWS model as evaluated by both in-sample and out-of-sample performance is promising. |
