The Prediction of Market Index Price
Abstract
This study undertakes the theory of stimulus organism response (SOR theory) to explain and predict investor emotion and investor behavior during the Covid-19 pandemic in France and Germany financial markets. In this paper, we apply the nonparametric volatility model, the vector autoregressive model, and the nonlinear autoregressive exogenous neural network model. Empirical results show a high level of jumps in investor emotion and investor behavior during the first wave of Covid-19. Moreover, we find the existence of emotional response to Covid-19, lockdown, and government support stimuli. Indeed, we find that Covid-19 stimuli enhance investor fear, while government support stimuli minimize the level of fear. Then, the investor emotion stimulates investor behavior, generating a behavioral response that confirms the SOR theory. However, we find that during the Covid-19 pandemic, market and bank stimuli present a lower effect on investor emotion compared with stimuli related to the Covid19 crisis. The Covid-19, lockdown, and government support stimuli efficiently predict investor emotion.
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References
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Skinner, B. F. (1935). The generic nature of the concepts of stimulus and response. The Journal of General Psychology, 12(1),40-65. Doi: 10.1080/00221309.1935.9920087.
Smales, L. A. (2021). Investor attention and the response of US stock market sectors to the Covid-19 crisis. Review of Behavioral Finance, 13(1), 20-39. https://doi.org/10.1108/RBF-04-2020-0089.
Song, Y., & Yu, Y. (2022). K-step investor sentiment index and stock market return prediction: Evidence from China. Sustainability, 14(10), 6331. https://doi.org/10.3390/su14106331.
Sun, J., Sun, Q., & Wang, Q. (2021). Coronavirus-related news and investment behavior: Evidence from medical stocks. Finance Research Letters, 43, 101967. https://doi.org/10.1016/j.frl.2021.101967.
Woodworth, R. S. (1929). Psychology. H. Holt.
Anastasiou, D., Antonis, B., & Konstantinos, D. (2022). Constructing a positive sentiment index for Covid-19: Evidence from G20 stock markets. International Review of Financial Analysis, 81, 102111. https://doi.org/10.1016/j.irfa. 2022.102111.
Andrew, P. J., & Keith, S. K. (2013). Good volatility, bad volatility: Signed jumps and the persistence of volatility. Economic Research Initiatives at Duke (ERID) Working Paper No. 168. https://ssrn.com/abstract=1943825.
Baig, A. S., Butt, H. A., Haroon, O., & Rizvi, S. A. R. (2021). Deaths, panic and the market's fear gauge. Financial Research Letters, 41, 101822. https://doi.org/10.1016/j.frl.2020.101822.
Barndorff-Nielsen, O. E., & Shephard, N. (2006). Econometrics of testing for jumps in noisy high frequency data. Journal of Econometrics, 141(1), 164-185.
Bavel, R. R. V., Baicker, K., Boggio, P. S., Capraro, V., Cichocka, A., Cikara, M., & Willer, R. (2020). Using social and behavioural science to support Covid-19 pandemic response. Nature Human Behaviour, 4(5), 460-471. doi: 10.1038/s41562-020-0884-z.
Brooks, S. K., Webster, R. K., Smith, L. E., Woodland, L., Wessely, S., Greenberg, N., & Rubin, G. J. (2020). The psychological impact of quarantine and how to reduce it: Rapid systematic review of the evidence. The Lancet, 395(10227), 912-920.
Boussaada, Z., Jallouli, M., & Oualid, M. (2018). Multi-step-ahead prediction of Tunisia's stock market returns using NARX neural networks. Decision Science Letters, 7(3), 291-300.
Dash, A., & Maitra, S. (2022). Do pandemic uncertainty and investor pessimism predict financial market instability? Evidence from India. International Review of Financial Analysis, 82, 102181. https://doi.org/10.1016/j.irfa. 2022.102181.
De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738.
Jabeen, A., Afzal, S., Maqsood, M., Mehmood, I., Yasmin, S., Niaz, M. T., & Nam, Y. (2021). An LSTM based forecasting for major stock sectors using Covid sentiment. Computer Modeling in Engineering & Sciences, 67(1), 1191-1206. Doi:10.32604/cmc.2021.014598.
Jiang, S., Nie, H., Chen, X., & Chen, J. (2021). Sentiment analysis in stock market based on Covid-19 using neural network. Procedia Computer Science, 199, 1146-1153. Doi: 10.1016/j.procs.2022.01.144.
John, K., & Li, Z. (2021). Covid-19, news, and the stock market: Evidence from equity and options. Journal of Financial and Quantitative Analysis, 56(6), 1885-1919. Doi: 10.1017/S022757602100037X.
Jeronimus, B. F. (2020). The Covid-19 crisis: Is there a role for personality? The crisis is too severe, too acute, and too uncertain to be predicted by stable personality characteristics. Frontiers in Psychology, 11, 580092. doi: 10.3389/fpsyg.2020.580092.
Li, X., Shi, S., Zou, J., & Ge, D. (2021). What drives consumers to use mobile payment during the Covid-19 pandemic? A SOR perspective. Journal of Retailing and Consumer Services, 63, 102720. Doi: 10.1016/j.jretconser.2021.102720.
Lin, H. (2004). The SOR model and its potential application for studying web design factors. International Journal of Management and Enterprise Development, 1(4), 312-328.
Loureiro, S. M. C., & Ribeiro, V. S. (2011). The stimulus-organism-response model in virtual retailing: A literature review. In Information and Management Engineering (ICIME), 3rd International Conference on (Vol. 5, pp. V5-224-V5-228). IEEE.
Moses, E. (2020). Covid-19: Consequences of lockdown and self-isolation on mental health and children protection services. Children and Youth Services Review, 120, 105783. Doi: 10.1016/j.childyouth.2020.105783.
Ruan, I., Wang, Z., & Zhou, Y. D. (2020). A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China. Economic Modelling, 88, 47-58. https://doi.org/10.1016/j.econmod.2019.09.009.
Eroglu, S. A., Machleit, K. A., & Davis, L. M. (2001). Atmospheric qualities of online retailing: A conceptual model and implications. Journal of Business Research, 54(2), 177-184. https://doi.org/10.1016/S0148-2963(99)00087-9.
Skinner, B. F. (1935). The generic nature of the concepts of stimulus and response. The Journal of General Psychology, 12(1),40-65. Doi: 10.1080/00221309.1935.9920087.
Smales, L. A. (2021). Investor attention and the response of US stock market sectors to the Covid-19 crisis. Review of Behavioral Finance, 13(1), 20-39. https://doi.org/10.1108/RBF-04-2020-0089.
Song, Y., & Yu, Y. (2022). K-step investor sentiment index and stock market return prediction: Evidence from China. Sustainability, 14(10), 6331. https://doi.org/10.3390/su14106331.
Sun, J., Sun, Q., & Wang, Q. (2021). Coronavirus-related news and investment behavior: Evidence from medical stocks. Finance Research Letters, 43, 101967. https://doi.org/10.1016/j.frl.2021.101967.
Woodworth, R. S. (1929). Psychology. H. Holt.
Published
2025-11-03
How to Cite
ABDELHEDI, Mouna; KAMOUN, mariem.
The Prediction of Market Index Price.
Journal of Accounting, Business and Management (JABM), [S.l.], v. 32, n. 2, p. 1-19, nov. 2025.
ISSN 2622-2167.
Available at: <https://journal.stie-mce.ac.id/index.php/jabminternational/article/view/1252>. Date accessed: 13 nov. 2025.
doi: https://doi.org/10.31966/jabminternational.v32i2.1252.
Section
Articles
