Common predictable components in regional stock markets

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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Detail(s)

Original languageEnglish
Pages (from-to)35-42
Journal / PublicationJournal of Business and Economic Statistics
Volume15
Issue number1
Publication statusPublished - Jan 1997

Abstract

This article employs recently developed multivariate methods to study the predictability of international stock-market returns. We find evidence of significant common predictable components within the Pacific, the European, and the North American stock markets using region-specific instrumental variables. The degree of predictability of these common movements, however, varies across regional markets and across subperiods. Results indicate that only North American instrumental variables have the ability to predict excess returns on the stock markets in the other two regions, but not vice versa.

Research Area(s)

  • Asset pricing, Linkages between national equity markets, Maximal R2, Maximally predictable portfolio, Maximum latent root test

Citation Format(s)

Common predictable components in regional stock markets. / Cheung, Yin-Wong; He, Jia; Ng, Lilian K.

In: Journal of Business and Economic Statistics, Vol. 15, No. 1, 01.1997, p. 35-42.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review