The predictive power of the yield spread in timing the stock market
AbstractThis study examines the relationship between yield spread and stock market returns. It also explores a dynamic trading strategy of timing the Indian stock market using the yield spread as an indicator variable. The study concludes with the important result that the yield spread is successful in identifying points of entry and exit for the Indian stock market, thereby delivering superior returns compared to a conventional buy and hold strategy.
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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 11 (2010)
Issue (Month): 3 (September)
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Web page: http://www.elsevier.com/locate/inca/620356
Yield spread Stock returns Market timing India;
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