An analysis of stock market prices by using extended Kalman filter: The US and China cases

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE Investment Analysts Journal Pub Date : 2023-01-02 DOI:10.1080/10293523.2023.2179160

Ö. Alp, Levent Özbek, Bilge Canbaloglu

引用次数: 0

Abstract

ABSTRACT This study decomposes the trend-cycle components of the stock market indices of the United States and China in a time series framework over the period of 1980–2021, and 1992–2021 years, respectively. Using the extended Kalman filter (EKF) method, the changing dynamics of stock market prices can be analysed more effectively since stock market prices can have a nonlinear pattern, and the EKF allows estimated system parameters to change over time under the nonlinear state-space model. As the impacts of shocks to trend and cycle on the stock market can be observed more efficiently due to flexible time-varying parameter estimation, the EKF offers more reasonable results than other decomposition tools. The empirical findings of this study prove that the EKF extracts the trend and cycle components by giving quite consistent forecasts for stock market prices in both advanced and emerging market countries.

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基于扩展卡尔曼滤波器的股票市场价格分析——以美国和中国为例

本研究分别在1980-2021年和1992-2021年的时间序列框架下，对美国和中国股市指数的趋势周期成分进行了分解。利用扩展卡尔曼滤波(EKF)方法，可以更有效地分析股票市场价格的变化动态，因为股票市场价格可能具有非线性模式，并且EKF允许在非线性状态空间模型下估计的系统参数随时间变化。由于灵活的时变参数估计，可以更有效地观察冲击对股票市场趋势和周期的影响，因此EKF比其他分解工具提供了更合理的结果。本研究的实证结果证明，EKF对发达国家和新兴市场国家的股市价格预测，提取了趋势和周期成分，并给出了相当一致的预测。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.