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The investor sentiment endurance index and its forecasting ability

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  • Ling T. He

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.

Suggested Citation

  • Ling T. He, 2012. "The investor sentiment endurance index and its forecasting ability," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 3(1), pages 61-70.
    • Handle: RePEc:ids:ijfmkd:v:3:y:2012:i:1:p:61-70
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    Cited by:

    1. Yue-Jun Zhang & Shu-Hui Li, 2019. "The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach," Quantitative Finance, Taylor & Francis Journals, vol. 19(8), pages 1357-1371, August.
    2. He, Ling T. & Casey, K.M., 2015. "Forecasting ability of the investor sentiment endurance index: The case of oil service stock returns and crude oil prices," Energy Economics, Elsevier, vol. 47(C), pages 121-128.

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