Short-horizon return predictability in international equity markets | NOVA. The University of Newcastle's Digital Repository

Home

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/926626

Title: Short-horizon return predictability in international equity markets
Author/Creator: Shamsuddin, Abul; Kim, Jae H.
Institution: The University of Newcastle. Faculty of Business & Law, Newcastle Business School
Description: This study measures the degree of short-horizon return predictability of 50 international equity markets and examines how its variation is related to the indicators of equity market development. Two multiple-horizon variance ratio tests are employed to measure the degree of return predictability. We find evidence that return predictability is negatively correlated with publicly available indicators of equity market development. Our cross-sectional regression analysis shows that the per capita gross domestic product, market turnover, investor protection, and absence of short-selling restrictions are correlated with cross-market variations in return predictability.
Relation: Financial Review Vol. 45, Issue 2, p. 469-484
Publisher Link: http://dx.doi.org/10.1111/j.1540-6288.2010.00256.x
Date: 2010
Publisher: Wiley-Blackwell Publishing
Keyword(s): return predictability; variance ratio test; international equity markets; equity market development
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.13/926626
Identifier: ISSN:1540-6288

19 Visitors

22 Hits

NOVA. The University of Newcastle's Digital Repository