Modeling and forecasting abnormal stock returns using the nonlinear Grey Bernoulli model

Bahar Doryab, Mahdi Salehi

Abstract


Purpose – This study aims to use gray models to predict abnormal stock returns.
Design/methodology/approach – Data are collected from listed companies in the Tehran Stock Exchange during 2005-2015. The analyses portray three models, namely, the gray model, the nonlinear gray Bernoulli model and the Nash nonlinear gray Bernoulli model.
Findings – Results show that the Nash nonlinear gray Bernoulli model can predict abnormal stock returns that are defined by conditions other than gray models which predict increases, and then after checking regression models, the Bernoulli regression model is defined, which gives higher accuracy and fewer errors than the other two models.
Originality/value – The stock market is one of the most important markets, which is influenced by several factors. Thus, accurate and reliable techniques are necessary to help investors and consumers find detailed and exact ways to predict the stock market.

Propósito: Este estudio tiene como objetivo utilizar modelos grises para predecir rendimientos anormales de las acciones.

Diseño / metodología / enfoque: Los datos se recopilan de las empresas que cotizan en la Bolsa de Teherán durante el período 2005-2015. Los análisis muestran tres modelos, a saber, el modelo gris, el modelo gris no lineal de Bernoulli y el modelo de Nash no lineal gris de Bernoulli.

Hallazgos: Los resultados muestran que el modelo de Bernoulli gris no lineal de Nash puede predecir rendimientos de stock anormales que están definidos  por condiciones distintas a los modelos de gris que predicen aumentos, y luego, después de verificar los modelos de regresión, se define el modelo de regresión de Bernoulli, que proporciona mayor precisión y menos errores que los otros dos modelos.

Originalidad / valor: El mercado de valores es uno de los mercados más importantes, en el que influyen varios factores. Por lo tanto, se necesitan técnicas precisas y confiables para ayudar a los inversores y consumidores a encontrar formas detalladas y exactas de predecir el mercado de valores.


Keywords


Abnormal returns; gray theory; nash nonlinear gray bernoulli model; nonlinear gray bernoulli model; retornos anormales; teoría de los grises; nash modelo no lineal gris bernoulli; modelo bernoulli gris no lineal

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