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Empirical Evidence on the Predictability of Stock Market Cycles: the Behaviour of the Dow Jones Index Industrial Average in the Stock Market Crises of 1929, 1987 and 2007.

机译:股票市场周期可预测性的经验证据:道琼斯指数工业平均指数在1929年,1987年和2007年股市危机中的行为。

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摘要

Based on a deterministic hypothesis, this paper aims to verify the regularity of the stock market cycles and, if this regularity is found, the ability to predict major stock market crises. Harmonic analysis, or Fourier series, is applied in order to, decomposing into sinusoids curves, find the constant periodicities hidden under the series of observed data. Starting from the industrial stock market data in the U.S., considering three periods of similar length of 165 months: 1919:01 to 1932:09, 1977:01 to 1999:09 and 1997:03 to 2010:11, I stand in the moment of maximum growth of the Dow Jones Industrial Average and I check if the most significant hidden periodicities allowed to predict the sharp drop in the index that was coming and the subsequent development. The evidence is inconclusive. A small number of theoretical cycles reasonably explain the stock market evolution. In terms of predictive power, in two cases there is this ability, while not in another. The conclusion reached indicates that, due to the regularity in the data, the application of the a deterministic hypothesis is reasonable. However, it is necessary to perform a deeper analysis of the data to be able to describe and predict major stock market cycles, including crises or large declines in stock market prices.
机译:基于确定性假设,本文旨在验证股票市场周期的规律性,如果发现这种规律性,则可以预测主要股市危机的能力。应用谐波分析或傅里叶级数,以便分解成正弦曲线,找到隐藏在一系列观测数据下的恒定周期。从美国的工业股票市场数据开始,考虑三个类似长度为165个月的时期:1919:01至1932:09、1977:01至1999:09和1997:03至2010:11,道琼斯工业平均指数的最大增长,我检查最重要的隐藏周期是否可以预测即将到来的指数以及随后的发展的急剧下降。证据尚无定论。少数理论周期可以合理地解释股票市场的发展。就预测能力而言,两种情况下都具有这种能力,而另一种情况下则没有。得出的结论表明,由于数据的规律性,确定性假设的应用是合理的。但是,有必要对数据进行更深入的分析,以描述和预测主要的股市周期,包括危机或股市价格的大幅下跌。

著录项

  • 作者

    Escañuela Romana Ignacio;

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  • 年度 2011
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  • 原文格式 PDF
  • 正文语种 {"code":"en","name":"English","id":9}
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