Stock market stability index: An intelligent approach

Il Suh Son, Kyong Joo Oh, Tae Yoon Kim, Chiho Kim, Jong Du Do

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

A stable stock market is essential to the entire financial market and economy stressing the significance of monitoring the stability of the stock market. In this paper, we propose stock market stability index (SMSI), which monitors market stability through a statistical model. SMSI is based on the idea that the proper statistical model for the past stable period would significantly fail when the current market becomes unstable (see also Kim et al. [9]). To construct SMSI, the behavior of the regular stock market index on the past stable period is investigated with the asymptotic stationary autoregressive model (ASAR) proposed mainly for non-stationary time series by Kim et al. [4]. Major advantage of this approach is to provide the probability (or p-value) of the current stock market's stability. As an empirical example, SMSI for the Korean stock market is developed in order to demonstrate its potential application.

Original languageEnglish
Pages (from-to)983-993
Number of pages11
JournalIntelligent Data Analysis
Volume13
Issue number6
DOIs
Publication statusPublished - 2009 Dec 1

All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • Computer Vision and Pattern Recognition
  • Artificial Intelligence

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