Short-horizon return predictability in international equity markets

Title: Short-horizon return predictability in international equity markets
Creator: Shamsuddin, Abul; Kim, Jae H.
Relation: Financial Review Vol. 45, Issue 2, p. 469-484
Publisher Link: http://dx.doi.org/10.1111/j.1540-6288.2010.00256.x
Publisher: Wiley-Blackwell Publishing
Resource Type: journal article
Date: 2010
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.
Subject: return predictability; variance ratio test; international equity markets; equity market development
Identifier: http://hdl.handle.net/1959.13/926626
Identifier: uon:9891
Identifier: ISSN:1540-6288
Language: eng
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