Stock price crashes in China: an artificial neural network approach

IF 2.1 Q2 BUSINESS, FINANCE Pacific Accounting Review Pub Date : 2023-03-17 DOI:10.1108/par-08-2022-0121
Le Wang, Liping Zou, Ji Wu
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Abstract

Purpose This paper aims to use artificial neural network (ANN) methods to predict stock price crashes in the Chinese equity market. Design/methodology/approach Three ANN models are developed and compared with the logistic regression model. Findings Results from this study conclude that the ANN approaches outperform the traditional logistic regression model, with fewer hidden layers in the ANN model having superior performance compared to the ANNs with multiple hidden layers. Results from the ANN approach also reveal that foreign institutional ownership, financial leverage, weekly average return and market-to-book ratio are the important variables when predicting stock price crashes, consistent with results from the traditional logistic model. Originality/value First, the ANN framework has been used in this study to forecast the stock price crashes and compared to the traditional logistic model in the world’s largest emerging market China. Second, the receiver operating characteristics curves and the area under the ROC curve have been used to evaluate the forecasting performance between the ANNs and the traditional approaches, in addition to some traditional performance evaluation methods.
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中国股市暴跌:一种人工神经网络方法
本文旨在利用人工神经网络(ANN)方法预测中国股市的股价崩盘。设计/方法/方法开发了三个人工神经网络模型,并与逻辑回归模型进行了比较。本研究的结果表明,人工神经网络方法优于传统的逻辑回归模型,与具有多个隐藏层的人工神经网络相比,人工神经网络模型中隐藏层较少,性能优越。人工神经网络方法的结果还显示,境外机构持股、财务杠杆、周平均收益率和市净率是预测股价崩盘的重要变量,与传统logistic模型的结果一致。首先,本研究采用人工神经网络框架对中国股市崩盘进行预测,并与世界最大新兴市场中国的传统物流模型进行比较。其次,除了一些传统的预测方法外,还利用受试者工作特征曲线和ROC曲线下面积来评价人工神经网络与传统方法的预测性能。
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来源期刊
Pacific Accounting Review
Pacific Accounting Review BUSINESS, FINANCE-
CiteScore
3.80
自引率
9.50%
发文量
36
期刊介绍: Pacific Accounting Review is a quarterly journal publishing original research papers and book reviews. The journal is supported by all New Zealand Universities and has the backing of academics from many universities in the Pacific region. The journal publishes papers from both empirical and theoretical forms of research into current developments in accounting and finance and provides insight into how present practice is shaped and formed. Specific areas include but are not limited to: - Emerging Markets and Economies - Political/Social contexts - Financial Reporting - Auditing and Governance - Management Accounting.
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