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Short-Horizon Return Predictability in International Equity Markets

Author

Listed:
  • Abul Shamsuddin

    (University of Newcastle)

  • Jae H. Kim

    (School of Economics & Finance, LaTrobe 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.

Suggested Citation

  • Abul Shamsuddin & Jae H. Kim, 2008. "Short-Horizon Return Predictability in International Equity Markets," Working Papers 1837-2198/978-0-9807041-0, School of Economics, La Trobe University.
    • Handle: RePEc:ltr:wpaper:1837-2198/978-0-9807041-0-5
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    File URL: http://www.latrobe.edu.au/lawman/assets/working-paper-series/economics-and-finance/20090901-SEF-workingpaper-Kim-Shamsuddin1.pdf
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    More about this item

    Keywords

    Return predictability; variance ratio test; international equity markets;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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