The impact of uncertainty on the financial market: How does uncertainty in the US financial market impact the performance of the US portfolios between 2001 and 2025 ?

Details

Supervisors

Iania, Leonardo

Faculty

Louvain School of Management

Degree label

Master [120] : ingénieur de gestion, à finalité spécialisée

Abstract

Uncertainty is known as a risk on the financial markets. It can increase or decrease the return on the stock markets. Usually, the uncertainty is compared to the volatility. In this research, the purpose is to predict the return of US portfolio on three years by adding seven indicators like inflation, price of oil, price of gold, euro/dollar rate, EPU1 and interest rate to find if these macro-financial indicators have an impact on the predicted returns and are synonym of uncertainty on the financial market while their rates increase or decrease. The research is based on quantitative data. The prediction starts at the beginning of 2023 and finishes at the end of 2025. The portfolios are composed on the S&P 500. We found that most of the volatility of the macro-financial indicators are pertinent four our study. We used the significant indicators to predict the returns of the different sector over three years.