Stock return predictability in South Africa: The role of major developed markets

Yi-Chieh Wen, Philip T. Lin, Bin Li and Eduardo Roca

Finance Research Letters, 2015, vol. 15, issue C, 257-265

Abstract: We examine stock return predictability of the South African (SA) market using lagged country monthly returns of the US, the UK, Germany, and Japan during the period 1973–2014. Our results show that SA market return and industry returns can be significantly predicted by lagged US market return and industry returns, mainly in the pre-1996 market change period. However, the weaker return predictability for SA stock market in the post-1996 period could be due to liquidity effects of economic reforms, regulatory changes and an enhanced information environment on the SA market.

Keywords: Return predictability; Lagged US returns; Return correlation; Diversification (search for similar items in EconPapers)
JEL-codes: G00 G12 G14 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:15:y:2015:i:c:p:257-265

DOI: 10.1016/j.frl.2015.10.014

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