Exploring Predictive Variables Affecting the Sales of Companies Listed With Korean Stock Indices Through Machine Learning Analysis

Article Economics

Market overreaction, firm-specific information and macroeconomic variables in US and Chinese markets during COVID-19

Ooi Kok Loang et al.

Summary: This study examines the impact of firm-specific information and macroeconomic variables on market overreaction of US and Chinese winner and loser portfolio before and during COVID-19. It shows that firm-specific information and macroeconomic variables are correlated to stock return in US and Chinese portfolios before COVID-19, but during COVID-19, the impact of firm-specific information disappears and macroeconomic variables become significant. Investors rely on economic indicators to trade in turbulent periods due to the disruption in the market caused by COVID-19. US and Chinese portfolios both show overreactions during COVID-19, with Chinese loser portfolio having a higher tendency of overreaction than US loser portfolio, and US winner portfolio having a higher tendency of overreaction than Chinese winner portfolio.

JOURNAL OF ECONOMIC STUDIES (2022)

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Article Business, Finance

The effects of daily growth in COVID-19 deaths, cases, and governments' response policies on stock markets of emerging economies

Murat Guven et al.

Summary: This study investigates the impact of the COVID-19 pandemic on stock market returns and finds that government response policies have a positive effect, while daily growths in deaths and cases have a negative effect.

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE (2022)

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Article Social Sciences, Mathematical Methods

Proxy expenditure weights for Consumer Price Index: Audit sampling inference for big-data statistics

Li-Chun Zhang

Summary: This study discusses the use of purchase data from retail chains as proxy measures of private household expenditure, highlighting the bias and variance issues associated with these proxy measures. An audit sampling inference approach is proposed to investigate the potential of replacing costly and burdensome surveys with non-survey big-data sources. However, in some cases, meaningful results may not be obtained using this method.

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY (2021)

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Article Economics

Identifying the role of consumer and producer price index announcements in stock index futures price changes

Guofang Liu et al.

Summary: The study shows that when the surprise directions of CPI and PPI are consistent, the reaction of stock index futures prices to CPI announcements is stronger, and the heterogeneity of financial institutions affects the impact of PPI and CPI announcements on stock index futures prices. Additionally, the impact of macroeconomic news announcements on stock index futures prices is related to investor trust in financial institutions.

ECONOMIC ANALYSIS AND POLICY (2021)

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Article Economics

Modelling of S&P 500 Index Price Based on US Economic Indicators: Machine Learning Approach

Ligita Gaspareniene et al.

Summary: The study selected 3 out of 27 indicators using data visualization, multicollinearity tests, and statistical significance tests; the authors improved the baseline statistical linear regression model by 19% using a ML Random Forest algorithm; the model achieved an accuracy of 97.68% in predicting the S&P 500 index.

INZINERINE EKONOMIKA-ENGINEERING ECONOMICS (2021)

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Article Economics

Linkage between consumer price index and purchasing power parity: Theoretic and empirical study

Menggen Chen et al.

JOURNAL OF INTERNATIONAL TRADE & ECONOMIC DEVELOPMENT (2018)

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Review Engineering, Industrial

Variable importance analysis: A comprehensive review

Pengfei Wei et al.

RELIABILITY ENGINEERING & SYSTEM SAFETY (2015)

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Exploring Predictive Variables Affecting the Sales of Companies Listed With Korean Stock Indices Through Machine Learning Analysis

相关参考文献

Market overreaction, firm-specific information and macroeconomic variables in US and Chinese markets during COVID-19

The effects of daily growth in COVID-19 deaths, cases, and governments' response policies on stock markets of emerging economies

Proxy expenditure weights for Consumer Price Index: Audit sampling inference for big-data statistics

Identifying the role of consumer and producer price index announcements in stock index futures price changes

Modelling of S&P 500 Index Price Based on US Economic Indicators: Machine Learning Approach

Linkage between consumer price index and purchasing power parity: Theoretic and empirical study

Variable importance analysis: A comprehensive review

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