Exploration of Factors Affecting Bank Stock Regime Change by Using Ensemble Learning

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  • 集団学習を用いた銀行株のレジーム変化に影響を与える指標抽出
  • シュウダン ガクシュウ オ モチイタ ギンコウカブ ノ レジ ― ム ヘンカ ニ エイキョウ オ アタエル シヒョウ チュウシュツ

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<p>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.</p>

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