Asia-Pacific Stock Return Predictability and Market Information Flows

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Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/104232

Title:	Asia-Pacific Stock Return Predictability and Market Information Flows
Authors:	Lin, Chien-Chih
Keywords:	Asia-Pacific markets;information flows;predictive ability;stock returns
Date:	2015-06-17
Issue Date:	2016-01-06 10:52:20 (UTC+8)
Abstract:	In this study, I investigate lead-lag relationships among Asia-Pacific country stock returns. Taking the GARCH effects into account, I estimate a prediction model, and find that lagged Singapore returns exhibit the strongest predictive ability for the returns of Asia-Pacific countries. Estimating this model, I find that lagged Singapore returns exhibit the strongest predictive ability for the returns of Asia-Pacific countries. The Asia-Pacific stock markets react with a delay of information contained in lagged Singapore returns about their fundamentals, and that information diffuses gradually across Asia-Pacific stock markets. Finally, using the MSPE-adjusted statistic, I provide out-of-sample evidence to examine the consistency of the predictive power of lagged Singapore returns.
Relation:	Emerging Markets Finance and Trade 51(3), pp.658-671
DOI:	10.1080/1540496X.2015.1046336
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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