Demystifying the trend of the healthcare index: Is historical price a key driver?

Payel Sadhukhan, Samrat Gupta, Subhasis Ghosh and Tanujit Chakraborty ()
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Payel Sadhukhan: Army Institute of Management
Samrat Gupta: IIM Ahmedabad - Indian Institute of Management Ahmedabad
Subhasis Ghosh: ICFAI University Tripura - ICFAI University Tripura
Tanujit Chakraborty: SUAD - Sorbonne University Abu Dhabi

Working Papers from HAL

Abstract: Healthcare sector indices consolidate the economic health of pharmaceutical, biotechnology, and healthcare service firms. The short-term movements in these indices are closely intertwined with capital allocation decisions affecting research and development investment, drug availability, and long-term health outcomes. This research investigates whether historical open-high-low-close (OHLC) index data contain sufficient information for predicting the directional movement of the opening index on the subsequent trading day. The problem is formulated as a supervised classification task involving a one-step-ahead rolling window. A diverse feature set is constructed, comprising original prices, volatility-based technical indicators, and a novel class of nowcasting features derived from mutual OHLC ratios. The framework is evaluated on data from healthcare indices in the U.S. and Indian markets over a five-year period spanning multiple economic phases, including the COVID-19 pandemic. The results demonstrate robust predictive performance, with accuracy exceeding 0.8 and Matthews correlation coefficients above 0.6. Notably, the proposed nowcasting features have emerged as a key determinant of the market movement. We have employed the Shapley-based explainability paradigm to further elucidate the contribution of the features: outcomes reveal the dominant role of the nowcasting features, followed by a more moderate contribution of original prices. This research offers a societal utility: the proposed features and model for short-term forecasting of healthcare indices can reduce information asymmetry and support a more stable and equitable health economy.

Keywords: Statistical Finance (q-fin.ST); Applications (stat.AP); Machine Learning (stat.ML); FOS: Economics and business; FOS: Computer and information sciences (search for similar items in EconPapers)
Date: 2026-01-20
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-05596336

DOI: 10.48550/arXiv.2601.14062

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