IDEAS home Printed from https://ideas.repec.org/a/igg/jrcm00/v1y2012i3p25-44.html
   My bibliography  Save this article

US Financial Crisis Critique and the Statistical Predictability of a NYSE Portfolio

Author

Listed:
  • Gerry Wymar

    (Hammersmith Planning, UK)

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.

Suggested Citation

  • Gerry Wymar, 2012. "US Financial Crisis Critique and the Statistical Predictability of a NYSE Portfolio," International Journal of Risk and Contingency Management (IJRCM), IGI Global, vol. 1(3), pages 25-44, July.
    • Handle: RePEc:igg:jrcm00:v:1:y:2012:i:3:p:25-44
    as

    Download full text from publisher

    File URL: http://services.igi-global.com/resolvedoi/resolve.aspx?doi=10.4018/ijrcm.2012070102
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:igg:jrcm00:v:1:y:2012:i:3:p:25-44. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Journal Editor (email available below). General contact details of provider: https://www.igi-global.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.