The Impact of Financial Crisis on the Predictability of the Stock Markets of PIGS Countries – Comparative Study of Prediction Accuracy of Technical Analysis and Neural Networks

The Impact of Financial Crisis on the Predictability of the Stock Markets of PIGS Countries – Comparative Study of Prediction Accuracy of Technical Analysis and Neural Networks

To a degree the financial crisis influenced all European countries but the most affected are the PIGS (Portugal, Ireland, Greece and Spain). We investigated the effect of the financial crisis on the prediction accuracy of artificial neural networks on the Portuguese, Irish, Athens and Madrid Stock E...

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Main Authors: Katarína Hiľovská, Martina Lučkaničová, Ján Šterba
Format: Article
Language:English
Published: Masaryk University 2011-09-01
Series:Financial Assets and Investing
Subjects:
Stock return
prediction
feed-forward neural network
technical analysis
financial crisis
Online Access:http://is.muni.cz/do/econ/soubory/aktivity/fai/27900200/FAI_issue2011_03_hilovska_luckanicova_sterba.pdf
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spelling doaj-5a7abb3236b2431eace2e09ff70b6b132020-11-24T22:45:23ZengMasaryk UniversityFinancial Assets and Investing1804-50811804-509X2011-09-01231932The Impact of Financial Crisis on the Predictability of the Stock Markets of PIGS Countries – Comparative Study of Prediction Accuracy of Technical Analysis and Neural NetworksKatarína HiľovskáMartina LučkaničováJán ŠterbaTo a degree the financial crisis influenced all European countries but the most affected are the PIGS (Portugal, Ireland, Greece and Spain). We investigated the effect of the financial crisis on the prediction accuracy of artificial neural networks on the Portuguese, Irish, Athens and Madrid Stock Exchange. We applied three-layered feed-forward neural networks with backpropagation algorithm to forecast the next day prices and we compared the paper returns achieved before and after the recent financial crisis. This method failed in forecasting the direction of the next day price movement but performed well in absolute price changes. However, it achieved better results than the strategy based on technical analysis in the period before the crisis. On the other hand, technical analysis performed better during the crisis. http://is.muni.cz/do/econ/soubory/aktivity/fai/27900200/FAI_issue2011_03_hilovska_luckanicova_sterba.pdfStock returnpredictionfeed-forward neural networktechnical analysisfinancial crisis
collection DOAJ
language English
format Article
sources DOAJ
author Katarína Hiľovská
Martina Lučkaničová
Ján Šterba
spellingShingle Katarína Hiľovská
Martina Lučkaničová
Ján Šterba
The Impact of Financial Crisis on the Predictability of the Stock Markets of PIGS Countries – Comparative Study of Prediction Accuracy of Technical Analysis and Neural Networks
Financial Assets and Investing
Stock return
prediction
feed-forward neural network
technical analysis
financial crisis
author_facet Katarína Hiľovská
Martina Lučkaničová
Ján Šterba
author_sort Katarína Hiľovská
title The Impact of Financial Crisis on the Predictability of the Stock Markets of PIGS Countries – Comparative Study of Prediction Accuracy of Technical Analysis and Neural Networks
title_short The Impact of Financial Crisis on the Predictability of the Stock Markets of PIGS Countries – Comparative Study of Prediction Accuracy of Technical Analysis and Neural Networks
title_full The Impact of Financial Crisis on the Predictability of the Stock Markets of PIGS Countries – Comparative Study of Prediction Accuracy of Technical Analysis and Neural Networks
title_fullStr The Impact of Financial Crisis on the Predictability of the Stock Markets of PIGS Countries – Comparative Study of Prediction Accuracy of Technical Analysis and Neural Networks
title_full_unstemmed The Impact of Financial Crisis on the Predictability of the Stock Markets of PIGS Countries – Comparative Study of Prediction Accuracy of Technical Analysis and Neural Networks
title_sort impact of financial crisis on the predictability of the stock markets of pigs countries – comparative study of prediction accuracy of technical analysis and neural networks
publisher Masaryk University
series Financial Assets and Investing
issn 1804-5081
1804-509X
publishDate 2011-09-01
description To a degree the financial crisis influenced all European countries but the most affected are the PIGS (Portugal, Ireland, Greece and Spain). We investigated the effect of the financial crisis on the prediction accuracy of artificial neural networks on the Portuguese, Irish, Athens and Madrid Stock Exchange. We applied three-layered feed-forward neural networks with backpropagation algorithm to forecast the next day prices and we compared the paper returns achieved before and after the recent financial crisis. This method failed in forecasting the direction of the next day price movement but performed well in absolute price changes. However, it achieved better results than the strategy based on technical analysis in the period before the crisis. On the other hand, technical analysis performed better during the crisis.
topic Stock return
prediction
feed-forward neural network
technical analysis
financial crisis
url http://is.muni.cz/do/econ/soubory/aktivity/fai/27900200/FAI_issue2011_03_hilovska_luckanicova_sterba.pdf
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