The investor sentiment endurance index and its forecasting ability. (1st January 2012)

• Record Type: Journal Article
• Authors: He, Ling T.
• Is Part Of: International journal of financial markets and derivatives. Volume 3:Number 1(2012)
• Page Start: 61
• Page End: 70
• Publication Date: 2012-01-01
• Subjects: investor sentiment endurance index -- forecasting ability -- rolling forecast -- accuracy ratio; Derivative securities -- Mathematical models -- Periodicals; Capital market -- Periodicals; 332.605
• Languages: English
• ISSNs: 1756-7130

Abstract

Based on a binomial probability distribution model, this paper creates an investor sentiment endurance index which estimates the probability that the high or low stock market price equals the closing price of a trading session. Results of this study indicate that the index has decent forecasting ability. The overall accuracy of eight-quarter rolling forecasts reaches 44.15%. Therefore, the true forecasting model and accuracy ratio developed in this study provide financial professionals with additional analytical tools.