Asia-Pacific Stock Return Predictability and Market Information Flows

Chien-Chih Lin

Emerging Markets Finance and Trade, 2015, vol. 51, issue 3, 658-671

Abstract: In this study, I investigate lead-lag relationships among Asia-Pacific country stock returns. Taking the GARCH effects into account, I estimate a prediction model, and find that lagged Singapore returns exhibit the strongest predictive ability for the returns of Asia-Pacific countries. Estimating this model, I find that lagged Singapore returns exhibit the strongest predictive ability for the returns of Asia-Pacific countries. The Asia-Pacific stock markets react with a delay of information contained in lagged Singapore returns about their fundamentals, and that information diffuses gradually across Asia-Pacific stock markets. Finally, using the MSPE-adjusted statistic, I provide out-of-sample evidence to examine the consistency of the predictive power of lagged Singapore returns.

Date: 2015
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DOI: 10.1080/1540496X.2015.1046336

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