Grin logo
en de es fr
Shop
GRIN Website
Publish your texts - enjoy our full service for authors
Go to shop › Business economics - Review of Business Studies

Equity Market Prediction. Evidence from the United Kingdom

Title: Equity Market Prediction. Evidence from the United Kingdom

Bachelor Thesis , 2021 , 47 Pages , Grade: 1,0

Autor:in: Hanlu Diao (Author)

Business economics - Review of Business Studies
Excerpt & Details   Look inside the ebook
Summary Excerpt Details

This thesis delivers a comprehensive study on the empirical performance of the market returns on the UK equity market. It particularly focuses on the aggregate market indices to gain a complete look at the UK market. Different economic variables, such as fundamental stock characteristics, business cycle variables, the sentiment variable, and macroeconomic indicators, are investigated to determine their impact on the equity market return.

The initial data set analysed covers the period from January 1990 to September 2020. During this sample period, several significant economic and political events occurred. One notable event is the severe economic downturn in the UK induced by the 2008 global financial crisis, from which it took years for the economy to recover. However, the British exit from the European Union (Brexit), triggered by a nationwide referendum in 2016, brought economic uncertainties back.

Since early 2020, countries worldwide have suffered from the COVID-19 pandemic, and the global economy has faced a serious challenge. The lockdown and other restrictions made to tackle the pandemic have caused a significant slump in economic output, especially in the UK, as its economy depends mainly on services industries.

Accordingly, all these events have had a significant negative impact on the UK equity markets. In order to make more robust inferences about the predictive ability of various economic variables, two forecast periods are considered instead of one. One forecast period covers the period from January 2001 to September 2020, and the other covers the more recent ten years from January 2011 to September 2020.

Excerpt


Inhaltsverzeichnis (Table of Contents)

  • Introduction
  • Literature Review
    • The History of Research on Equity Market Prediction
    • The Debate about Equity Market Prediction
    • Findings with New Variables in More Recent Research
    • Literature Regarding the UK Market
  • Data and Summary Statistics
    • Data Source and Data Construction
    • Summary Statistics
  • In-sample Return Predictions
    • Predictive Regression Model
    • Predictive Regression Results
      • Univariate Regression Results
      • Multivariate Regression Results
  • Out-of-sample Return Forecasts
    • Empirical Procedure
    • Forecast Evaluation
    • Out-of-sample Forecasting Performance
  • Summary and Conclusion

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

This bachelor thesis investigates the predictability of the UK equity market using a range of economic and financial variables. The primary objective is to assess the effectiveness of different forecasting models in predicting future market returns both in-sample and out-of-sample.

  • The history and evolution of equity market prediction research
  • The debate surrounding the efficiency of financial markets and the possibility of predicting returns
  • The impact of new variables and recent research findings on equity market prediction
  • The application of forecasting models to the UK market
  • The evaluation of in-sample and out-of-sample forecasting performance

Zusammenfassung der Kapitel (Chapter Summaries)

The introductory chapter sets the stage for the thesis by presenting a brief overview of the topic and outlining the research questions. The second chapter provides a comprehensive literature review, exploring the historical development of equity market prediction research, the ongoing debate about market efficiency, and recent findings using new variables. It also delves into existing literature specifically focused on the UK market.

Chapter three focuses on the data used in the study, detailing the data sources and the construction of the data set. It also presents descriptive statistics summarizing the key variables.

Chapter four explores the in-sample return predictions using a predictive regression model. It examines both univariate and multivariate regression results, providing insights into the explanatory power of different variables.

Chapter five focuses on out-of-sample return forecasts, outlining the empirical procedure used for the forecasting exercise. It evaluates the forecasting performance of the models based on various metrics.

Schlüsselwörter (Keywords)

Equity market prediction, financial markets, market efficiency, forecasting models, regression analysis, UK market, in-sample prediction, out-of-sample forecast, economic variables, financial variables, forecasting performance, return predictability.

Excerpt out of 47 pages  - scroll top

Details

Title
Equity Market Prediction. Evidence from the United Kingdom
College
Technical University of Munich
Grade
1,0
Author
Hanlu Diao (Author)
Publication Year
2021
Pages
47
Catalog Number
V1127974
ISBN (eBook)
9783346471468
ISBN (Book)
9783346471475
Language
English
Tags
equity market prediction evidence united kingdom
Product Safety
GRIN Publishing GmbH
Quote paper
Hanlu Diao (Author), 2021, Equity Market Prediction. Evidence from the United Kingdom, Munich, GRIN Verlag, https://www.grin.com/document/1127974
Look inside the ebook
  • Depending on your browser, you might see this message in place of the failed image.
  • https://cdn.openpublishing.com/images/brand/1/preview_popup_advertising.jpg
  • Depending on your browser, you might see this message in place of the failed image.
  • Depending on your browser, you might see this message in place of the failed image.
  • Depending on your browser, you might see this message in place of the failed image.
  • Depending on your browser, you might see this message in place of the failed image.
  • Depending on your browser, you might see this message in place of the failed image.
  • Depending on your browser, you might see this message in place of the failed image.
  • Depending on your browser, you might see this message in place of the failed image.
  • Depending on your browser, you might see this message in place of the failed image.
  • Depending on your browser, you might see this message in place of the failed image.
  • Depending on your browser, you might see this message in place of the failed image.
  • Depending on your browser, you might see this message in place of the failed image.
Excerpt from  47  pages
Grin logo
  • Grin.com
  • Payment & Shipping
  • Contact
  • Privacy
  • Terms
  • Imprint