Time-varying return predictability in South Asian equity markets
Md. Lutfur Rahman,
Doowon Lee and
International Review of Economics & Finance, 2017, vol. 48, issue C, 179-200
Time-varying return predictability in four South Asian stock markets is examined using the wild-bootstrapped automatic variance ratio test and price delay measures. Strong evidence of predictability is found in aggregate market and size-sorted portfolio returns. The cross-sectional variation in return predictability is inversely related to firm size and trading frequency, while the time variation in return predictability is related to market conditions—the level of equity market development, liquidity, volatility, automation of trading mechanism and financial crises. These results strongly corroborate Lo's (2004) adaptive market hypothesis, and are robust to controlling for thin trading, changes in data frequency, and use of alternative return predictability measures.
Keywords: Return predictability; Adaptive market hypothesis; South Asian stock markets; Variance ratio; Price delay (search for similar items in EconPapers)
JEL-codes: F30 G14 G15 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:48:y:2017:i:c:p:179-200
Access Statistics for this article
International Review of Economics & Finance is currently edited by H. Beladi and C. Chen
More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Haili He ().