The investor sentiment endurance index and its forecasting ability

Ling T. He

International Journal of Financial Markets and Derivatives, 2012, vol. 3, issue 1, 61-70

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.

Keywords: investor sentiment endurance index; forecasting ability; rolling forecasts; accuracy ratio; binomial probability distribution; modelling; stock market prices; closing prices. (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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