Bear market predictability in Singapore

• Main Authors: See, Yi Fong, Low, Priscilla Yi Xian, Chow, Sze Yan
• Other Authors: Wang Wei Siang
• Format: Final Year Project
• Language: English
• Published: 2018
• Subjects: DRNTU::Business::Finance::Equity
• Online Access: http://hdl.handle.net/10356/73858
• Institution: Nanyang Technological University

This paper investigates a variety of macroeconomic variables in Singapore and United States (US) that can be used to predict the bear market in Singapore. We use the parametric Markov-Switching model to classify the state of the market and conduct in-sample and out-of-sample tests to find out the us...