Are Asian stock market returns predictable?

Narayan, S 2015, 'Are Asian stock market returns predictable?', Emerging Markets Finance and Trade, vol. 51, no. 5, pp. 867-878.

Document type: Journal Article
Collection: Journal Articles

Title Are Asian stock market returns predictable?
Author(s) Narayan, S
Year 2015
Journal name Emerging Markets Finance and Trade
Volume number 51
Issue number 5
Start page 867
End page 878
Total pages 12
Publisher Routledge
Abstract We conduct predictability tests for selected Asian stock markets using monthly data from the period March 2001-April 2012. Asian market bears and returns are predicted using the U.S. stock market bears and returns. A two-state Markov-switching model is employed to distinguish between the bull and bear regimes in the U.S. and Asian stock markets. The in-sample predictability analysis suggests that the U.S. market returns and bears are important predictors of Asian market returns and some Asian bears. The out-of-sample predictability exercise is not able to reinforce the in-sample results, which is in large part due to the small forecasting sample size.
Subject Financial Economics
Financial Econometrics
Keyword(s) Asian stock markets
bear market
predictive models
two-state Markovswitching model
U.S. stock market
DOI - identifier 10.1080/1540496X.2015.1061379
Copyright notice Copyright © Taylor & Francis Group, LLC.
ISSN 1540-496X
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Citation counts: TR Web of Science Citation Count  Cited 5 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 3 times in Scopus Article | Citations
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