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A study on the predictability of the capital market movement through the use of the CUSIP issuance data analytics

Published: 15 December 2023 Publication History

Abstract

The purpose of this paper is to identify the relationship between CUSIP issuance data and capital market performance by classifying economic regimes, in which the historical data and macroeconomic factors are examined. Specifically, we choose the Composite Leading Indicator (CLI) and CPI to identify the state of the economy and split it into one of four economic regimes, and explore the trending patterns and co-movements of CUSIP issuance data and S&P 500 Index in each regime.

References

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Abhishek Gupta, Altaf Kassam, Raghu Suryanarayanan, Katalin Varga. Index Performance in Changing Economic Environments, MSCI Research Insights, April 2014.
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https://www.investopedia.com/terms/c/cusipnumber.asp.
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Darren Purcell. Standardisation put to the test: How reference data standards have evolved in an era of unprecedented regulatory and technological change[J]. Journal of Securities Operations & Custody,2019,11(4).
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Yaxun Wang. 2022. The Analysis on the Relation Between CUSIP Data and Macroeconomic Financial Factors and Its Correlation to the Capital Markets. In 2022 13th International Conference on E-business, Management and Economics (ICEME 2022). Association for Computing Machinery, New York, NY, USA, 361–366. https://doi.org/10.1145/3556089.3556187
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Alice Kalinowski, Todd Hines. Eight things to know about business research data. Journal of Business & Finance Librarianship 25(3-4),105-122,2020.
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Nicolas Johnson, Vasant Naik, Niels Pedersen, Steve Sapra. The Stock-Bond Correlation. PIMCO Quantitative Research, November 2013.
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Malcolm Baker, Jeffrey Wurgler. The Equity Share in New Issues and Aggregate Stock Returns, The Journal of Finance, Vol. Lv, No. 5, 2219-2258, Oct. 2000.
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Self-Regulatory Organizations; Municipal Securities Rulemaking Board; Notice of Filing of a Proposed Rule Change Consisting of Amendments to MSRB Rule G-34 To Better Align the CUSIP Requirements for Underwriters and Municipal Advisors With Current Market Practices. The Federal Register / FIND 87.133(2022).
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American Bankers Association; American Bankers Association's Trademark Application for "CUSIP GLOBAL SERVICES EXPERIENCE PROCESS TECHNOLOGY INNOVATION" Filed[J]. Journal of Engineering,2020.
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Hussain, S., Nguyen, V.C., Nguyen, Q.M. et al. Macroeconomic factors, working capital management, and firm performance—A static and dynamic panel analysis. Humanit Soc Sci Commun 8, 123 (2021).

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  1. A study on the predictability of the capital market movement through the use of the CUSIP issuance data analytics

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      ICEME '23: Proceedings of the 2023 14th International Conference on E-business, Management and Economics
      July 2023
      507 pages
      ISBN:9798400708022
      DOI:10.1145/3616712
      Permission to make digital or hard copies of all or part of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for components of this work owned by others than the author(s) must be honored. Abstracting with credit is permitted. To copy otherwise, or republish, to post on servers or to redistribute to lists, requires prior specific permission and/or a fee. Request permissions from [email protected].

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      Association for Computing Machinery

      New York, NY, United States

      Publication History

      Published: 15 December 2023

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      Author Tags

      1. CUSIP Issuance
      2. Capital Market
      3. Data Analysis
      4. Financial Engineering
      5. Financial analysis

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