Stock market declines and market fundamentals / Ho Yew Joe

This research investigates if market fundamentals are significant in predicting stock market declines in an ex-ante fashion. The dates of stock market declines are determined via a list of ex-post models which comprise the approaches of parametric, non-parametric, semi-parametric and scale-invariant...

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Main Author:	Ho, Yew Joe
Format:	Thesis
Published:	2017
Subjects:	HC Economic History and Conditions
Online Access:	http://studentsrepo.um.edu.my/7774/ http://studentsrepo.um.edu.my/7774/1/All.pdf http://studentsrepo.um.edu.my/7774/2/1_Cover_page_%26_first_page.pdf http://studentsrepo.um.edu.my/7774/4/3_Abstract.pdf http://studentsrepo.um.edu.my/7774/5/4_Acknowledgements.pdf http://studentsrepo.um.edu.my/7774/15/Write_Up_%2D_Full_Final.pdf http://studentsrepo.um.edu.my/7774/6/5_Table_of_Contents.pdf http://studentsrepo.um.edu.my/7774/7/6_List_of_Figures.pdf http://studentsrepo.um.edu.my/7774/8/7_List_of_Tables.pdf http://studentsrepo.um.edu.my/7774/9/8_List_of_Abbreviations.pdf http://studentsrepo.um.edu.my/7774/10/9_List_of_Appendices.pdf http://studentsrepo.um.edu.my/7774/11/10_References.pdf http://studentsrepo.um.edu.my/7774/12/11_Appendix_A.pdf http://studentsrepo.um.edu.my/7774/13/12_Appendix_B.pdf http://studentsrepo.um.edu.my/7774/14/13_List_of_Publications.pdf http://studentsrepo.um.edu.my/7774/56/2_Original_Literary_Work_Declaration.pdf

id	um-stud-7774
recordtype	eprints
spelling	um-stud-77742017-11-02T08:34:47Z Stock market declines and market fundamentals / Ho Yew Joe Ho, Yew Joe HC Economic History and Conditions This research investigates if market fundamentals are significant in predicting stock market declines in an ex-ante fashion. The dates of stock market declines are determined via a list of ex-post models which comprise the approaches of parametric, non-parametric, semi-parametric and scale-invariant. This includes the Markov-switching model (with various extractions of probabilities for predictability tests), naïve moving average, Brys-Boschan algorithm (the Lunde & Timmermann variant and Candelon, Piplak & Straetman variant), and the integrated identifications with the JLS model and JLS "negative bubble" model. This research also improvises the existing methodologies and introduces the semi-parametric model of “naïve moving average negative return” in identifying bear market and in using the “dichotomised smoothed probabilities” which is transformed from the output of the Markov-switching model for predictability tests. Market fundamentals such as dividend growth, change in the cyclically adjusted price earnings ratio, change in Commerce Department composite index of 11 leading indicators, term spreads (both 3M-10Y and 5M-10Y), Chicago Fed National Activity Index and ISM manufacturing survey (inventories index) are found to be among the most consistent best predictors for stock market declines. The significance of these market fundamentals varies according to different forecasting horizons. 2017-07-26 Thesis NonPeerReviewed application/pdf http://studentsrepo.um.edu.my/7774/1/All.pdf application/pdf http://studentsrepo.um.edu.my/7774/2/1_Cover_page_%26_first_page.pdf application/pdf http://studentsrepo.um.edu.my/7774/4/3_Abstract.pdf application/pdf http://studentsrepo.um.edu.my/7774/5/4_Acknowledgements.pdf application/pdf http://studentsrepo.um.edu.my/7774/15/Write_Up_%2D_Full_Final.pdf application/pdf http://studentsrepo.um.edu.my/7774/6/5_Table_of_Contents.pdf application/pdf http://studentsrepo.um.edu.my/7774/7/6_List_of_Figures.pdf application/pdf http://studentsrepo.um.edu.my/7774/8/7_List_of_Tables.pdf application/pdf http://studentsrepo.um.edu.my/7774/9/8_List_of_Abbreviations.pdf application/pdf http://studentsrepo.um.edu.my/7774/10/9_List_of_Appendices.pdf application/pdf http://studentsrepo.um.edu.my/7774/11/10_References.pdf application/pdf http://studentsrepo.um.edu.my/7774/12/11_Appendix_A.pdf application/pdf http://studentsrepo.um.edu.my/7774/13/12_Appendix_B.pdf application/pdf http://studentsrepo.um.edu.my/7774/14/13_List_of_Publications.pdf application/pdf http://studentsrepo.um.edu.my/7774/56/2_Original_Literary_Work_Declaration.pdf Ho, Yew Joe (2017) Stock market declines and market fundamentals / Ho Yew Joe. PhD thesis, University of Malaya. http://studentsrepo.um.edu.my/7774/
repository_type	Digital Repository
institution_category	Local University
institution	University Malaya
building	UM Students Repository
collection	Online Access
topic	HC Economic History and Conditions
spellingShingle	HC Economic History and Conditions Ho, Yew Joe Stock market declines and market fundamentals / Ho Yew Joe
description	This research investigates if market fundamentals are significant in predicting stock market declines in an ex-ante fashion. The dates of stock market declines are determined via a list of ex-post models which comprise the approaches of parametric, non-parametric, semi-parametric and scale-invariant. This includes the Markov-switching model (with various extractions of probabilities for predictability tests), naïve moving average, Brys-Boschan algorithm (the Lunde & Timmermann variant and Candelon, Piplak & Straetman variant), and the integrated identifications with the JLS model and JLS "negative bubble" model. This research also improvises the existing methodologies and introduces the semi-parametric model of “naïve moving average negative return” in identifying bear market and in using the “dichotomised smoothed probabilities” which is transformed from the output of the Markov-switching model for predictability tests. Market fundamentals such as dividend growth, change in the cyclically adjusted price earnings ratio, change in Commerce Department composite index of 11 leading indicators, term spreads (both 3M-10Y and 5M-10Y), Chicago Fed National Activity Index and ISM manufacturing survey (inventories index) are found to be among the most consistent best predictors for stock market declines. The significance of these market fundamentals varies according to different forecasting horizons.
format	Thesis
author	Ho, Yew Joe
author_facet	Ho, Yew Joe
author_sort	Ho, Yew Joe
title	Stock market declines and market fundamentals / Ho Yew Joe
title_short	Stock market declines and market fundamentals / Ho Yew Joe
title_full	Stock market declines and market fundamentals / Ho Yew Joe
title_fullStr	Stock market declines and market fundamentals / Ho Yew Joe
title_full_unstemmed	Stock market declines and market fundamentals / Ho Yew Joe
title_sort	stock market declines and market fundamentals / ho yew joe
publishDate	2017
url	http://studentsrepo.um.edu.my/7774/ http://studentsrepo.um.edu.my/7774/1/All.pdf http://studentsrepo.um.edu.my/7774/2/1_Cover_page_%26_first_page.pdf http://studentsrepo.um.edu.my/7774/4/3_Abstract.pdf http://studentsrepo.um.edu.my/7774/5/4_Acknowledgements.pdf http://studentsrepo.um.edu.my/7774/15/Write_Up_%2D_Full_Final.pdf http://studentsrepo.um.edu.my/7774/6/5_Table_of_Contents.pdf http://studentsrepo.um.edu.my/7774/7/6_List_of_Figures.pdf http://studentsrepo.um.edu.my/7774/8/7_List_of_Tables.pdf http://studentsrepo.um.edu.my/7774/9/8_List_of_Abbreviations.pdf http://studentsrepo.um.edu.my/7774/10/9_List_of_Appendices.pdf http://studentsrepo.um.edu.my/7774/11/10_References.pdf http://studentsrepo.um.edu.my/7774/12/11_Appendix_A.pdf http://studentsrepo.um.edu.my/7774/13/12_Appendix_B.pdf http://studentsrepo.um.edu.my/7774/14/13_List_of_Publications.pdf http://studentsrepo.um.edu.my/7774/56/2_Original_Literary_Work_Declaration.pdf
first_indexed	2018-09-06T08:33:43Z
last_indexed	2018-09-06T08:33:43Z
_version_	1610846383312470016

Stock market declines and market fundamentals / Ho Yew Joe

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