Short-Horizon Return Predictability in International Equity Markets
Abul Shamsuddin and
Jae Kim ()
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Abul Shamsuddin: University of Newcastle
No 2009.01, Working Papers from School of Economics, La Trobe University
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
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Journal Article: Short‐Horizon Return Predictability in International Equity Markets (2010)
Working Paper: Short-Horizon Return Predictability in International Equity Markets (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ltr:wpaper:2009.01
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