Economics at your fingertips  

Common Predictable Components in Regional Stock Markets

Yin-Wong Cheung, Jia He and Lilian K Ng

Journal of Business & Economic Statistics, 1997, vol. 15, issue 1, 35-42

Abstract: This paper employs recently developed multivariate methods to study the predictability of international stock market returns. The authors 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.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (12) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Journal of Business & Economic Statistics is currently edited by Jonathan H. Wright and Keisuke Hirano

More articles in Journal of Business & Economic Statistics from American Statistical Association
Bibliographic data for series maintained by Christopher F. Baum ().

Page updated 2019-08-20
Handle: RePEc:bes:jnlbes:v:15:y:1997:i:1:p:35-42