Borochkin A.A.National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation borochkin@yandex.ru
Rogachev D.Yu.National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation rogistyle@mail.ru
Subject The article addresses the stock market bubbles forecasting. The subject is gaining popularity in view of recent economic crises caused by financial bubble busting. Objectives The objectives of the study are to devise models to predict the emergence and development of financial bubbles in the short term; to identify micro- and macroeconomic factors affecting the short-term changes in stock prices (stocks included in the Dow Jones Industrial index); and to assess the consistency of the models in question. Methods The study employs econometric techniques (mixed models) to analyze quarterly panel data on financial statements of companies in their relations with macroeconomic indicators. Results We developed four models, which may help analyze the stock market from the perspective of financial bubble presence. Conclusions and Relevance The proposed models clarify the relationship between the innovative activity of a company, overall condition of the economy and trends in the stock market. The paper may be of interest to individual traders and mutual fund managers for trading strategies development, risk hedging and portfolio diversification, as well as to financial market regulators.
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