PREDICTING CRISES ON THE AFRICAN FRONTIER STOCK MARKETS WITH INVESTOR SENTIMENT INDICATORS: A MACHINE LEARNING APPROACH

Authors

David Korsah, University of GhanaFollow
Lord Mensah, University of GhanaFollow

Document Type

Article

Abstract

This study examined the predictive ability of machine learning algorithms in identifying crises within African stock markets. The study employed seven distinct machine-learning models, analyzing historical stock prices from eight stock markets, three major sentiment indicators, and the exchange rates of local currencies against the US dollar, with each data spanning from May 1, 2007, to April 1, 2023. Extreme Gradient Boosting (XGBoost) emerged as the most effective algorithm for predicting crises. Historical stock prices and exchange rates were identified as the most critical features for prediction. On the sentiment side, investors’ perceptions of potential volatility on the S&P 500, as captured by the CBOE Volatility Index (VIX), and the daily News Sentiment Index were recognized as significant predictors.The study advances the understanding of market sentiment’s role in stock market dynamics and highlights the importance of employing advanced computational techniques for risk management and market stability.

Recommended Citation

Korsah, David and Mensah, Lord (2025) "PREDICTING CRISES ON THE AFRICAN FRONTIER STOCK MARKETS WITH INVESTOR SENTIMENT INDICATORS: A MACHINE LEARNING APPROACH," Journal of International Technology and Information Management: Vol. 33: Iss. 1, Article 4.
DOI: https://doi.org/10.58729/1941-6679.1593
Available at: https://scholarworks.lib.csusb.edu/jitim/vol33/iss1/4