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Dynamic return predictability in the Russian stock market

Jyri Kinnunen

Emerging Markets Review, 2013, vol. 15, issue C, 107-121

Abstract: This paper explores whether the relevance of a conditional multifactor model and autocorrelation in predicting the Russian aggregate stock return fluctuates over time. The source of return predictability is shown to vary considerably with information flow. In general, predictability of the Russian stock market return is at a high level. Autocorrelation increases during periods of low information flow. During periods of high information, conditional exposure to the local market risk and changes in oil price influence the expected return on the Russian stock market. The lagged global stock market factor and currency returns have insignificant influence.

Keywords: Predictability; Autocorrelation; Volatility; Trading volume; Risk-return trade-off; Russia (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.ememar.2012.12.001

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