EXPLORATION OF FACTORS AFFECTING STOCK REGIME CHANGE

Abstract

Financial crises are typically caused by a chain of credit contractions, which in turns could be caused by the rapid worsening of indexes that indicate people's psychology, such as bank stock prices. The purpose of this analysis is to identify trigger points where bank stocks rise or fall by extracting what common points existed in financial economic indicators immediately before significant fluctuations of bank stocks occurred in the past. To conduct discriminant analysis, we used the traditional statistical method as well as ensemble learning. We also used "bank stock performance" as well as "bank stock regime change" as objective variables. This attempt showed that the money multiplier and 10-year yield of government bonds are important ones that could have an influence on bank stock regime change. Keywords : Ensemble Learning, Bank Stock, Regime, J48, Random Forest.