Stock return predictability and model instability: Evidence from mainland China and Hong Kong

Hui Hong, Naiwei Chen, O’Brien, Fergal and James Ryan

The Quarterly Review of Economics and Finance, 2018, vol. 68, issue C, 132-142

Abstract: This study examines the predictability of the Shanghai Composite, Shenzhen Composite and the Hang Seng China Enterprise index returns during the period 1993 to 2010, with emphasis on whether considering structural breaks in model parameters improves the stock return predictability.

Keywords: Model instability; structural breaks; return predictability; China; Hong Kong (search for similar items in EconPapers)
JEL-codes: C53 G11 G14 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:68:y:2018:i:c:p:132-142

DOI: 10.1016/j.qref.2017.11.007

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