Are Asian Stock Market Returns Predictable?

Seema Narayan ()

Emerging Markets Finance and Trade, 2015, vol. 51, issue 5, 867-878

Abstract: We conduct predictability tests for selected Asian stock markets using monthly data from the period March 2001–April 2012. Asian market bears and returns are predicted using the U.S. stock market bears and returns. A two-state Markov-switching model is employed to distinguish between the bull and bear regimes in the U.S. and Asian stock markets. The in-sample predictability analysis suggests that the U.S. market returns and bears are important predictors of Asian market returns and some Asian bears. The out-of-sample predictability exercise is not able to reinforce the in-sample results, which is in large part due to the small forecasting sample size.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:51:y:2015:i:5:p:867-878

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DOI: 10.1080/1540496X.2015.1061379

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