The Role of Momentum, Sentiment, and Economic Fundamentals in Forecasting Bear Stock Market

DOI10.1002/FOR.2392MaRDI QIDQ4596030zbMATH OpenOpenAlexFDO

Authors Yi-Ting Chen, Kendro Vincent

Publication date 8 December 2017

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2392

zbMATH Keywords

bear stock market forecastinginvestor sentimenttime series momentum

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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(3)

• Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China
• Identifying bull and bear markets in Japan
• Stock volatility predictability in bull and bear markets

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