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Package marketconf: Stock Market Confidence Indexes

The R package marketconf reads data on U. S. Stock Market Confidence Indexes from the Yale School of Management’s International Center for Finance web page.

This package is designed for stock market prediction and risk valuation, and it is compatible with other packages like:

quantmod, TTR or tidyquant

Package installation

library(devtools)
devtools::install_github("EnriquePH/marketconf")

Examples

Listing confidence indices

The four U.S. stock market confidence indexes are derived monthly from survey data on investors’ behavior. These indexes are:

library(marketconf)
library(knitr)
kable(US_confidence_indices())
Symbol Dir Description Info Url
US1YI united-states-one-year-index U.S. One Year Confidence Index The percent of the population expecting an increase in the Dow in the coming year. https://shiller-data-public.s3.amazonaws.com/icf_stock_market_confidence_index_table.csv
USVI united-states-valuation-index U.S. Valuation Confidence Index The percent of the population who think that the market is not too high. https://shiller-data-public.s3.amazonaws.com/icf_stock_market_valuation_index_table.csv
USBODI united-states-buy-dips-confidence-index U.S. Buy-On-Dips Confidence Index The percent of the population expecting a rebound the next day should the market ever drop 3% in one day. https://shiller-data-public.s3.amazonaws.com/icf_stock_market_dips_index_table.csv
USCI us-crash-confidence-index U.S. Crash Confidence Index The percent of the population who attach little probability to a stock market crash in the next-six months. https://shiller-data-public.s3.amazonaws.com/icf_stock_market_crash_index_table.csv

Plotting

This is a basic example that plots the U.S. Valuation Index:

library(ggplot2)

index_symbol <- "USVI"
index_df <- get_index(index_symbol)

ggplot(index_df, aes(x = Date, y = USVI.Value, color = Investor)) +
  geom_line() +
  ggtitle(get_index_description(index_symbol))

License

The markerconf package is licensed under the MIT License (MIT), but the Stock Market Confidence Indexes are produced and copyrighted by the International Center of Finance at the Yale School of Management. Please refer to the TERMS OF USE on Yale University’s web page for further information.