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Source: Journal Citation ReportsTM from ClarivateTM 2022

Entrepreneurship and Sustainability Issues Open access
Journal Impact FactorTM (2022) 1.7
Journal Citation IndicatorTM (2022) 0.42
Received: 2020-08-25  |  Accepted: 2020-11-07  |  Published: 2020-12-30

Title

Modeling of EURO STOXX 50 index price returns based on industrial production surprises: basic and machine learning approach


Abstract

There are a big number of researches which analyzing stock price returns. Some of them is based on fundamental analysis theory. Meanwhile other studies are based on efficient market hypotheses and financial behavior theories. However, there is not enough researches combining the characteristics of these theories into one. Such kind of researches in the scientific literature is usually referred to macroeconomic news, announcements, surprises, expectations studies. These studies examine not only the actual but also the predictive values of macroeconomic indicators announcements, normalizing them and thus creating absolutely a new surprise indicator. Purpose of this paper is modeling EURO STOXX 50 index price returns based on Industrial production surprise indicator. Empirical part shows that the best models for explaining EURO STOXX 50 index price returns was obtained at the 40 and 42 in different surprise indicator scenario. The coefficient of determination was obtained respectively 24.70% and 21,80%. Meanwhile applying machine learning method of artificial intelligence, a much more accurate models were obtained. The coefficient of determination respectively was 33,22% and 26,60%.


Keywords

surprises, price, return, EURO STOXX 50, industrial production


JEL classifications

L16 , P22


URI

http://jssidoi.org/jesi/article/759


DOI


Pages

1305-1320


This is an open access issue and all published articles are licensed under a
Creative Commons Attribution 4.0 International License

Authors

Gasparėnienė, Ligita
Vilnius University, Vilnius, Lithuania https://www.vu.lt
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Remeikienė, Rita
Vilnius University, Vilnius, Lithuania https://www.vu.lt
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Sosidko, Aleksejus
Mykolas Romeris University, Vilnius, Lithuania https://www.mruni.eu
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Vėbraitė, Vigita
Vilnius University, Vilnius, Lithuania https://www.vu.lt
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Raistenskis, Evaldas
Vilnius University, Vilnius, Lithuania https://www.vu.lt
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Journal title

Entrepreneurship and Sustainability Issues

Volume

8


Number

2


Issue date

December 2020


Issue DOI


ISSN

ISSN 2345-0282 (online)


Publisher

VšĮ Entrepreneurship and Sustainability Center, Vilnius, Lithuania

Cited

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References