Forecasting Stock Price Using Financial and Non-financial Information: Application of Event Study and Random Forest Analysis


Authors

  • Vu Thi Loan VNU University of Economics and Business
  • Nguyen Thi Anh Thu VNU University of Economics and Business
  • Nong Thi Huong Ly VNU University of Economics and Business
  • Vu Mai Linh VNU University of Economics and Business
DOI: https://doi.org/10.57110/jebvn.v3i3.178

Keywords:

Information, financial information, non-financial information, Event Study, Random Forest

Abstract

This study aims to assess the effects of new information on the movements of stock returns in Vietnam. The Event Study approach and the Random Forest algorithm are applied for stock price prediction. The data sample is collected from 84 companies registered on the Hochiminh Stock Exchange (HOSE) between January 2017 and December 2021. The research analysis results disclose the abnormal returns around the dates of information release. Specifically, abnormal returns as a response to financial information are more significant than abnormal returns caused by non-financial information. In addition, the stock price movements can be predicted from 8 variables including information, market capitalization, three financial indicators, and three macroeconomic variables.

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Published

25-06-2023

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How to Cite

Vu Thi Loan, Nguyen Thi Anh Thu, Nong Thi Huong Ly, & Vu Mai Linh. (2023). Forecasting Stock Price Using Financial and Non-financial Information: Application of Event Study and Random Forest Analysis. VNU JOURNAL OF ECONOMICS AND BUSINESS, 3(3). https://doi.org/10.57110/jebvn.v3i3.178

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