Preview

Voprosy Ekonomiki

Advanced search
Open Access Open Access  Restricted Access Subscription Access

Construction of the Forecasting Index for Stock Market

https://doi.org/10.32609/0042-8736-2005-12-51-62

Abstract

There are various methods of forecasting different parameters of stock market. One group of these methods deals with forecasting trends of integral parameters such as stock market indexes. This article considers some well-known index methods of forecasting stock market trends. At the same time the article contains a computation for construction of the forecasting index, which helps to identify prolonged trends of RTS index. The principles and recommendations proposed in the article can be used for practical purposes.

About the Author

A. Rozhkov
State University - Higher School of Economics
Russian Federation


References

1. Алексеенкова М. Факторы отраслевого анализа для российской переходной экономики. Препринт. М.: ГУ-ВШЭ , 2001.

2. Дорофеев Е. Влияние колебаний экономических факторов на динамику российского фондового рынка. М.: РПЭИ, 2000.

3. Рожков А. В начале 2005 г. возможен падающий тренд // Рынок ценных бумаг, 2005, № 3.

4. Рожков А. Индекс трендового прогнозирования: в конце 2002 года рынок акций ожидает традиционное ралли // Рынок ценных бумаг, 2002, № 23.

5. Рожков А. Индекс трендового прогнозирования: тенденция на фондовом рынке в начале 2004 года останется повышательной // Вестник НАУФОР, 2004, февраль.

6. Рожков А. Опережающие индикаторы российского рынка акций // Вестник НАУФОР, 2005, № 9, с. 47-51.

7. Рожков А. Прогнозирование трендовой динамики российского фондового рынка // Вопросы экономики, 2003, № 8. С. 81-94.

8. Brav A., Heaton J. Competing Theories of Financial Anomalies // Review of Financial Studies, 2002, vol.15, No 2.

9. Burns A., Mitchell W. Measuring Business Cycles. New York, National Bureau of Economic Research, 1946.

10. Chauvet M. Stock Market Fluctuations and the Business Cycle // Journal of Economic and Social Measurement, 1998/1999, vol. 25, No 3-4.

11. Chauvet M., Potter S. Nonlinear Risk. Working Paper, University of California, Riverside, 1998.

12. Chen N. Financial Investment Opportunities and the Macroeconomy // Journal of Finance, 1991, vol. 46, No 2.

13. Dyckman T., Downes D., Magee R. Efficient Capital Markets and Accounting: A Critical Analysis. Englewood Cliff, N.J., 1975.

14. Fama E. Efficient Capital Markets: A Review of Theory and Empirical Work // Journal of Finance, 1970, No 25.

15. Fama E. Efficient Capital Markets: II // The Journal of Finance, 1991, vol. 46, No 5.

16. Fama E., French K. Business Conditions and Expected Returns on Stocks and Bonds // Journal of Financial Economics, 1989, vol. 25, p. 23-49.

17. Fama E., French K. The Equity Premium // The Journal of Finance, 2002, vol. 57, No 2.

18. Federal Reserve Bank of Cleveland. An Economic Evaluation of the Stock Market // Economic Review, 1968, August.

19. Heathcotte B., Apilado P. The Predictive Content of Some Leading Economic Indicators for Futures Stock Prices // Journal of Financial and Quantitative Analysis, 1974, March.

20. Kennedy J. The Information in Diffusion Indexes for Forecasting Related Economic Aggregates // Economics Letters, 1994, vol. 44, p. 113-117.

21. Mehra R., Prescott E. The Equity Premium: A Puzzle // Journal of Monetary Economics, 1985, vol. 15, No 2.

22. Pesaran M., Timmemann A. Predictability of Stock Returns: Robustness and Economic Significance // Journal of Finance, 1995, vol. 50, No 4.

23. Shiller R. Do Stock Prices Move too Much to be Justified by Subsequent Changes in Dividends? // American Economic Review, 1981., vol. 71, No 3.

24. Umstead D. Forecasting Stock Market Prices // The Journal of Finance, 1977, vol. 32, No 2.

25. Whitelaw R. Time Variations and Covariations in the Expectation and Volatility of Stock Market Return // Journal of Finance, 1994, vol. 49, No 2.

26. Zhong M., Darrat A., Anderson D. Do US Stock Prices Deviate from Their Fundamental Values? Some New Eevidence // Journal of Banking and Finance, 2003, vol. 27, No 4.


Review

For citations:


Rozhkov A. Construction of the Forecasting Index for Stock Market. Voprosy Ekonomiki. 2005;(12):51-62. (In Russ.) https://doi.org/10.32609/0042-8736-2005-12-51-62

Views: 450


ISSN 0042-8736 (Print)