Quantitative analysis of large stock market crashes

Quantitative analysis of large stock market crashes

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The objective of this study is to structure a dependable model to forecast the timing of entry and exit from the stock markets by using multivariate linear regression analysis. The study uses major macroeconomic indicators such CPI, PPI, GDP, MEI as independent variables and the SaP 500 index value as the dependent variable. The sample consists of 30 years of monthly data. This study includes four different loss scenarios in the SaP 500 index value and analyzes the data to see if the losses can be absorbed or if further losses will occur. This report discusses the practical implications of using regression analysis and how it is used to predict the market movements. This paper concludes that our regression model can help an investor to anticipate market movements and thus make appropriate buy and sell decisions.normal market noise; perhaps one can best understand this by considering the difference between a correction and a crash. ... January 1984 to December 2012 has been divided into monthly figures using the dependent variable y as the value of the Saamp;P 500. ... Moreover, the prior study used the data from June 1976 to June.

Title:Quantitative analysis of large stock market crashes
Author: Victor Odour
Publisher:GRIN Verlag - 2014-02-05

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