Time-varying return predictability in South Asian equity markets

Title: Time-varying return predictability in South Asian equity markets
Creator: Rahman, Md. Lutfur; Lee, Doowon; Shamsuddin, Abul
Relation: International Review of Economics & Finance Vol. 48, Issue March, p. 179-200
Publisher Link: http://dx.doi.org/10.1016/j.iref.2016.12.004
Publisher: Elsevier
Resource Type: journal article
Date: 2017
Description: Time-varying return predictability in four South Asian stock markets is examined using the wild-bootstrapped automatic variance ratio test and price delay measures. Strong evidence of predictability is found in aggregate market and size-sorted portfolio returns. The cross-sectional variation in return predictability is inversely related to firm size and trading frequency, while the time variation in return predictability is related to market conditions—the level of equity market development, liquidity, volatility, automation of trading mechanism and financial crises. These results strongly corroborate Lo's (2004) adaptive market hypothesis, and are robust to controlling for thin trading, changes in data frequency, and use of alternative return predictability measures.
Subject: return predictability; adaptive market hypothesis; South Asian stock markets; variance ratio; price delay
Identifier: http://hdl.handle.net/1959.13/1387285
Identifier: uon:32573
Identifier: ISSN:1059-0560
Language: eng
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