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Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models

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  • McMillan, David G.

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  • McMillan, David G., 2001. "Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models," International Review of Economics & Finance, Elsevier, vol. 10(4), pages 353-368, December.
  • Handle: RePEc:eee:reveco:v:10:y:2001:i:4:p:353-368
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    1. Campbell, John Y & Hamao, Yasushi, 1992. "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," Journal of Finance, American Finance Association, vol. 47(1), pages 43-69, March.
    2. Gabriel Perez‐Quiros & Allan Timmermann, 2000. "Firm Size and Cyclical Variations in Stock Returns," Journal of Finance, American Finance Association, vol. 55(3), pages 1229-1262, June.
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    5. Pesaran, M Hashem & Timmermann, Allan, 2000. "A Recursive Modelling Approach to Predicting UK Stock Returns," Economic Journal, Royal Economic Society, vol. 110(460), pages 159-191, January.
    6. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    7. Aman Ullah, 1988. "Non-parametric Estimation of Econometric Functionals," Canadian Journal of Economics, Canadian Economics Association, vol. 21(3), pages 625-658, August.
    8. Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
    9. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    10. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    11. Qi, Min, 1999. "Nonlinear Predictability of Stock Returns Using Financial and Economic Variables," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(4), pages 419-429, October.
    12. Keim, Donald B. & Stambaugh, Robert F., 1986. "Predicting returns in the stock and bond markets," Journal of Financial Economics, Elsevier, vol. 17(2), pages 357-390, December.
    13. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
    14. Pesaran, M Hashem & Timmermann, Allan, 1995. "Predictability of Stock Returns: Robustness and Economic Significance," Journal of Finance, American Finance Association, vol. 50(4), pages 1201-1228, September.
    15. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
    16. Balvers, Ronald J & Cosimano, Thomas F & McDonald, Bill, 1990. "Predicting Stock Returns in an Efficient Market," Journal of Finance, American Finance Association, vol. 45(4), pages 1109-1128, September.
    17. Ferson, Wayne E & Harvey, Campbell R, 1993. "The Risk and Predictability of International Equity Returns," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 527-566.
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    Cited by:

    1. Mark E. Wohar & David E. Rapach, 2005. "Valuation ratios and long-horizon stock price predictability," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 327-344.
    2. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
    3. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
    4. Hosseini, Seyed Soheil & Wormald, Nick & Tian, Tianhai, 2021. "A Weight-based Information Filtration Algorithm for Stock-correlation Networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
    5. David G. McMillan, 2003. "Non‐linear Predictability of UK Stock Market Returns," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 557-573, December.
    6. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Co-movements between US and UK stock prices: the roles of macroeconomic information and time-varying conditional correlations," Centre for Growth and Business Cycle Research Discussion Paper Series 96, Economics, The Univeristy of Manchester.
    7. Michael Scholz & Jens Perch Nielsen & Stefan Sperlich, 2012. "Nonparametric prediction of stock returns guided by prior knowledge," Graz Economics Papers 2012-02, University of Graz, Department of Economics.
    8. Daiki Maki & Yasushi Ota, 2019. "Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approches," Papers 1907.12752, arXiv.org, revised Sep 2019.
    9. Zheng Guihuan & Shang Yan & Wang Jue & Wu Ying, 2014. "A Study on the Asymmetry in the Role of Monetary Policy by Using STR model," Journal of Systems Science and Information, De Gruyter, vol. 2(3), pages 236-243, June.
    10. Dahmene, Meriam & Boughrara, Adel & Slim, Skander, 2021. "Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 676-699.
    11. Sun, Yuying & Han, Ai & Hong, Yongmiao & Wang, Shouyang, 2018. "Threshold autoregressive models for interval-valued time series data," Journal of Econometrics, Elsevier, vol. 206(2), pages 414-446.
    12. Tania Morris & Jules Comeau, 0. "Portfolio creation using artificial neural networks and classification probabilities: a Canadian study," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 0, pages 1-31.
    13. Liam Gallagher & Mark Hutchinson & John O’Brien, 2018. "Does Convertible Arbitrage Risk Exposure Vary Through Time?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-25, December.
    14. Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, December.
    15. Angela J. Black & David G. McMillan, 2004. "Non‐linear Predictability of Value and Growth Stocks and Economic Activity," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3‐4), pages 439-474, April.
    16. Tania Morris & Jules Comeau, 2020. "Portfolio creation using artificial neural networks and classification probabilities: a Canadian study," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 133-163, June.
    17. Kim, Sei-Wan & Mollick, André V. & Nam, Kiseok, 2008. "Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets," Global Finance Journal, Elsevier, vol. 19(1), pages 19-31.
    18. Tao You & Paweł Fiedor & Artur Hołda, 2015. "Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(2), pages 1-19, June.

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