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Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US

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  • Haase, Felix
  • Neuenkirch, Matthias
Abstract
The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines dimensionality reduction, regime-switching models, and forecast combination to predict excess returns on the S&P 500. First, we aggregate the weekly information of 146 popular macroeconomic and financial variables using different principal component analysis techniques. Second, we estimate Markov-switching models with time-varying transition probabilities using the principal components as predictors. Third, we pool the models in forecast clusters to hedge against model risk and to evaluate the usefulness of different specifications. Our weekly forecasts respond to regime changes in a timely manner to participate in recoveries or to prevent losses. This is also reflected in an improvement of risk-adjusted performance measures as compared to several benchmarks. However, when considering stock market returns, our forecasts do not outperform common benchmarks. Nevertheless, they do add statistical and, in particular, economic value during recessions or in declining markets.

Suggested Citation

  • Haase, Felix & Neuenkirch, Matthias, 2023. "Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US," International Journal of Forecasting, Elsevier, vol. 39(2), pages 587-605.
    • Handle: RePEc:eee:intfor:v:39:y:2023:i:2:p:587-605
    DOI: 10.1016/j.ijforecast.2022.01.004
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    More about this item

    Keywords

    Forecast combination; Markov-switching models; Shrinkage methods; Stock market regimes; Time-varying transition probabilities;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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