Replication Dataset for: "Defying the Forecast Combination Puzzle: Bridging Financial Theory and Stock Price Prediction"

This dataset accompanies the study titled "Defying the Forecast Combination Puzzle: Bridging Financial Theory and Stock Price Prediction."It includes three CSV files: combined_data.csv, training_data.csv, and testing_data.csv, used to evaluate and compare 15 univariate, multivariate, and forecast combination methods across three U.S. stock indices.Variables include index closing prices and economic indicators from 1997 to 2024. Specifically, the following: • SP500: S&P 500 Index• NASDAQ: NASDAQ 100 Index• DOW JONES: Dow Jones Industrial Average (equivalent to its daily index)• T10Y2Y: 10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Ma-turity (a measure of the yield curve)• DTB3: 3-Month Treasury Bill: Secondary Market Rate• DCOILWTICO: West Texas Intermediate Crude Oil Prices• VIXCLS: CBOE Volatility Index (VIX)• DEXJPUS: Japanese Yen to U.S. Dollar Spot Exchange Rate• DEXCHUS: Chinese Yuan Renminbi to U.S. Dollar Spot Exchange Rate• USEPUINDXD: US Economic Policy Uncertainty Index• BAMLC0A1CAAA: ICE BofA AAA US Corporate Index Option-Adjusted Spread• WLEMUINDXD: US Equity Market-related Economic Uncertainty Index Data sources: Yahoo Finance, Stooq, and FRED (Federal Reserve Economic Data). Please cite this dataset using the DOI provided. All files are released for replication purposes.