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Short-Horizon Return Predictability in International Equity Markets

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Author Info

  • Abul Shamsuddin

    (University of Newcastle)

  • Jae H Kim

    ()
    (Department of Economics and Finance, 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.

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File URL: http://www.latrobe.edu.au/__data/assets/pdf_file/0018/130914/2009.01.pdf
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Bibliographic Info

Paper provided by School of Economics, La Trobe University in its series Working Papers with number 2009.01.

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Length: 33 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:ltr:wpaper:2009.01

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Web page: http://www.latrobe.edu.au/economics
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Keywords: Return predictability; variance ratio test; international equity markets EDIRC Provider-Institution: RePEc:edi:smlatau;

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Cited by:
  1. Amélie Charles & Olivier Darné & Jae H. Kim & Etienne Redor, 2014. "Stock Exchange Mergers and Market Efficiency," Working Papers hal-00940105, HAL.

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