Using machine learning to analyze the impact of coronavirus pandemic news on the stock markets in GCC countries

Al‐Maadid, Alanoud; Alhazbi, Saleh; Al-Thelaya, Khaled A.

doi:10.1016/j.ribaf.2022.101667

Cited by 12 publications

(1 citation statement)

References 56 publications

(62 reference statements)

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“…Instead of applying traditional statistical techniques as in previous research on the same topic which only determine statistical significance of variables and the sign of those variables' impacts, three machine learning models will be constructed including Decision Tree, Random Forest and XGBoost as (Al-Maadid et al, 2022) have done in their research, then explore feature importance and feature contribution to gain more beneficial results than traditional techniques including how variables affect the models, which is the same as the sign of variables' impacts in traditional techniques, and the more insight is how much they affect the models.…”

Section: Utilizing Machine Learning Techniques To Analyze Any Impacts...mentioning

confidence: 99%

Analyzing impact of economic indicators on Vietnam stock market with machine learning techniques

Sangsawai

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The study provides an analysis of the Vietnamese stock market using statistical and machine learning models. The dataset shows that all features have a positive linear relationship with the VN Index, but exhibit different scales and degrees of skewness. The Augmented Dickey-Fuller (ADF) unit root test was conducted to identify whether the variables were stationary or non-stationary, and most variables were transformed into stationary data through first differencing. The OLS method was used to construct a short run model, and the results indicated that only three variables, namely CPI, exchange rate, and S&P500 index, exhibited statistical significance. The ARDL Bound test was conducted, and the results indicated that there is a long-run relationship between the variables under consideration, and the results indicated that only three variables, namely CPI, GDP, and S&P500 index, exhibited statistical significance. The decision tree, random forest, and XGBoost models were used to study�short and long run relationships. The findings suggest that the random forest model performed the best�in the short run, while the XGBoost model performed the best in the long run. The three statistically significant variables of both OLS and ARDL were ranked as the top-three influential variables on Random Forest and XGBoost, respectively.

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Section: Utilizing Machine Learning Techniques To Analyze Any Impacts...mentioning

confidence: 99%

Analyzing impact of economic indicators on Vietnam stock market with machine learning techniques

Sangsawai

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Analysing the impacts of unscheduled news events on stock market contagion during the epidemic

Zhang,

Zhou,

et al. 2024

Int. J Fin Econ

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This paper investigates the impact of unscheduled news announcements on market contagion during the COVID‐19 pandemic. Using coexceedance of stock returns as a metric for market contagion effect, we assess the contribution of news releases from the United States and China on the financial contagion of a representative group of global equity markets through a quantile analysis framework. The empirical results are mixed: news events originating in the United States have a greater impact on market contagion compared with those originating in China, especially at lower quantiles. Stock markets respond asymmetrically to good news versus bad news, and the latter lead to a sharper common fall among the markets than the boost to the market caused by good news. We also find evidence that conditional variance and investor sentiment play some role in the spread of financial market crises, despite differences in extent and direction.

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UAE Stock Markets Prediction: Machine Learning Application

Abdelkarim,

Abdalla,

Hashem

2024

Lecture Notes in Operations Research

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Using machine learning to analyze the impact of coronavirus pandemic news on the stock markets in GCC countries

Cited by 12 publications

References 56 publications

Analyzing impact of economic indicators on Vietnam stock market with machine learning techniques

Analyzing impact of economic indicators on Vietnam stock market with machine learning techniques

Analysing the impacts of unscheduled news events on stock market contagion during the epidemic

UAE Stock Markets Prediction: Machine Learning Application

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