Asia-Pacific Stock Return Predictability and Market Information Flows

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/104232

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题名:	Asia-Pacific Stock Return Predictability and Market Information Flows
作者:	Lin, Chien-Chih
关键词:	Asia-Pacific markets;information flows;predictive ability;stock returns
日期:	2015-06-17
上传时间:	2016-01-06 10:52:20 (UTC+8)
摘要:	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.
關聯:	Emerging Markets Finance and Trade 51(3), pp.658-671
DOI:	10.1080/1540496X.2015.1046336
显示于类别:	[財務金融學系暨研究所] 期刊論文

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