Are stock returns on the US used as an exogenous predictor to the Asian emerging equity markets

Lin, Jihn-Yih

Applied Economics Letters, 2008, vol. 15, issue 3, pages 235-237

Abstract: By using a block recursive vector autoregression model and two new out-of-sample tests, this study has found that the US stock returns have predictive ability for the four Asian emerging equity markets. The estimates from weekly data suggest that returns on S&P500 positively predict stock returns of Asian emerging markets up to three weeks.

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