 US Financial Crisis Critique and the Statistical Predictability of a NYSE PortfolioGerry Wymar
International Journal of Risk and Contingency Management (IJRCM), 2012, vol. 1, issue 3, 25-44 Abstract: This study’s purpose is to review investment practitioner accounts describing the causes and effects of the global financial crises, with a focus of the US financial crisis. A critical gap in the literature was found: the lack of an independent indicator that could do forecast a market upturn or downturn at least a week in advance to provide sufficient lead time for hedging a stock portfolio before a crash. A sample of 95 high performing companies listed on the New York Stock Exchange (NYSE) was used as a multiyear case study. Publicly available market indexes such as Mood’s, Standards and Poor’s (S&P, and others, were tested as independent factors to explain the behavior of the case study stock portfolio performance. Correlation, regression (simple, multiple, stepwise, surface response) and ANOVA (with T-tests) were used to analyze 817 days of returns during the 2008-2011 period of the US financial crisis. A complex polynomial nonlinear equation was developed which could predict the behavior of the case study portfolio five days in advance. Date: 2012 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:igg:jrcm00:v:1:y:2012:i:3:p:25-44 Access Statistics for this article International Journal of Risk and Contingency Management (IJRCM) is currently edited by Narasimha Rao Vajjhala More articles in International Journal of Risk and Contingency Management (IJRCM) from IGI Global |
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