Short-Horizon Return Predictability in International Equity Markets

Abul Shamsuddin () and Jae Kim

No 2009.01, Working Papers from School of Economics, La Trobe University

Abstract: This study measures the degree of short-horizon return predictability of 50 international equity markets and examines how its variation is related to the indicators of equity market development. Two multiple-horizon variance ratio tests are employed to measure the degree of return predictability. We find evidence that return predictability is negatively correlated with publicly available indicators of equity market development. Our cross-sectional regression analysis shows that the per capita GDP, market turnover, investor protection, and absence of short selling restrictions are correlated with cross-market variations in return predictability.

Keywords: Return predictability; variance ratio test; international equity markets EDIRC Provider-Institution: RePEc:edi:smlatau (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.latrobe.edu.au/__data/assets/pdf_file/0018/130914/2009.01.pdf First version, 2009.01.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.latrobe.edu.au/__data/assets/pdf_file/0018/130914/2009.01.pdf [301 Moved Permanently]--> https://www.latrobe.edu.au/__data/assets/pdf_file/0018/130914/2009.01.pdf)

Related works:
Journal Article: Short‐Horizon Return Predictability in International Equity Markets (2010)
Working Paper: Short-Horizon Return Predictability in International Equity Markets (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ltr:wpaper:2009.01

Access Statistics for this paper

More papers in Working Papers from School of Economics, La Trobe University Contact information at EDIRC.
Bibliographic data for series maintained by Stephen Scoglio ( this e-mail address is bad, please contact ).