Machine Learning to Forecast Financial Bubbles in Stock Markets: Evidence from Vietnam
Financial bubble prediction has been a significant area of interest in empirical finance, garnering substantial attention in the literature. This study aims to detect and forecast financial bubbles in the Vietnamese stock market from 2001 to 2021. The PSY procedure, which involves a right-tailed uni...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-11-01
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| Series: | International Journal of Financial Studies |
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| Online Access: | https://www.mdpi.com/2227-7072/11/4/133 |
| _version_ | 1797358079085379584 |
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| author | Kim Long Tran Hoang Anh Le Cap Phu Lieu Duc Trung Nguyen |
| author_facet | Kim Long Tran Hoang Anh Le Cap Phu Lieu Duc Trung Nguyen |
| author_sort | Kim Long Tran |
| collection | DOAJ |
| description | Financial bubble prediction has been a significant area of interest in empirical finance, garnering substantial attention in the literature. This study aims to detect and forecast financial bubbles in the Vietnamese stock market from 2001 to 2021. The PSY procedure, which involves a right-tailed unit root test to identify the existence of financial bubbles, was employed to achieve this goal. Machine learning algorithms were then utilized to predict real-time financial bubble events. The results revealed the presence of financial bubbles in the Vietnamese stock market during 2006–2007 and 2017–2018. Additionally, the empirical evidence supported the superior performance of the random forest and artificial neural network algorithms over traditional statistical methods in predicting financial bubbles in the Vietnamese stock market. |
| first_indexed | 2024-03-08T14:54:39Z |
| format | Article |
| id | doaj.art-bb37955eb25c4e60963391e814651a3d |
| institution | Directory Open Access Journal |
| issn | 2227-7072 |
| language | English |
| last_indexed | 2024-03-08T14:54:39Z |
| publishDate | 2023-11-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | International Journal of Financial Studies |
| spelling | doaj.art-bb37955eb25c4e60963391e814651a3d2024-01-10T17:49:17ZengMDPI AGInternational Journal of Financial Studies2227-70722023-11-0111413310.3390/ijfs11040133Machine Learning to Forecast Financial Bubbles in Stock Markets: Evidence from VietnamKim Long Tran0Hoang Anh Le1Cap Phu Lieu2Duc Trung Nguyen3Department of Banking, Ho Chi Minh University of Banking, No. 36 Ton That Dam Street, Nguyen Thai Binh Ward, District 1, Ho Chi Minh City 700000, VietnamDepartment of Banking, Ho Chi Minh University of Banking, No. 36 Ton That Dam Street, Nguyen Thai Binh Ward, District 1, Ho Chi Minh City 700000, VietnamDepartment of Banking, Ho Chi Minh University of Banking, No. 36 Ton That Dam Street, Nguyen Thai Binh Ward, District 1, Ho Chi Minh City 700000, VietnamDepartment of Banking, Ho Chi Minh University of Banking, No. 36 Ton That Dam Street, Nguyen Thai Binh Ward, District 1, Ho Chi Minh City 700000, VietnamFinancial bubble prediction has been a significant area of interest in empirical finance, garnering substantial attention in the literature. This study aims to detect and forecast financial bubbles in the Vietnamese stock market from 2001 to 2021. The PSY procedure, which involves a right-tailed unit root test to identify the existence of financial bubbles, was employed to achieve this goal. Machine learning algorithms were then utilized to predict real-time financial bubble events. The results revealed the presence of financial bubbles in the Vietnamese stock market during 2006–2007 and 2017–2018. Additionally, the empirical evidence supported the superior performance of the random forest and artificial neural network algorithms over traditional statistical methods in predicting financial bubbles in the Vietnamese stock market.https://www.mdpi.com/2227-7072/11/4/133financial bubblesmachine learning algorithmsVietnamese stock market |
| spellingShingle | Kim Long Tran Hoang Anh Le Cap Phu Lieu Duc Trung Nguyen Machine Learning to Forecast Financial Bubbles in Stock Markets: Evidence from Vietnam International Journal of Financial Studies financial bubbles machine learning algorithms Vietnamese stock market |
| title | Machine Learning to Forecast Financial Bubbles in Stock Markets: Evidence from Vietnam |
| title_full | Machine Learning to Forecast Financial Bubbles in Stock Markets: Evidence from Vietnam |
| title_fullStr | Machine Learning to Forecast Financial Bubbles in Stock Markets: Evidence from Vietnam |
| title_full_unstemmed | Machine Learning to Forecast Financial Bubbles in Stock Markets: Evidence from Vietnam |
| title_short | Machine Learning to Forecast Financial Bubbles in Stock Markets: Evidence from Vietnam |
| title_sort | machine learning to forecast financial bubbles in stock markets evidence from vietnam |
| topic | financial bubbles machine learning algorithms Vietnamese stock market |
| url | https://www.mdpi.com/2227-7072/11/4/133 |
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