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Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers

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  • Giorgio Valente

    (University of Warwick, Coventry, UK)

  • Lucio Sarno

    (University of Warwick, Coventry, UK and Centre for Economic Policy Research (CEPR), London, UK)

Abstract

This paper proposes a vector equilibrium correction model of stock returns that exploits the information in the futures market, while allowing for both regime-switching behaviour and international spillovers across stock market indices. Using data for three major stock market indices since 1989, we find that: (i) in sample, our model outperforms several alternative models on the basis of standard statistical criteria; (ii) in out-of-sample forecasting, our model does not produce significant gains in terms of point forecasts relative to more parsimonious alternative specifications, but it does so both in terms of market timing ability and in density forecasting performance. The economic value of the density forecasts is illustrated with an application to a simple risk management exercise. Copyright © 2005 John Wiley & Sons, Ltd.

Suggested Citation

  • Giorgio Valente & Lucio Sarno, 2005. "Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 345-376.
  • Handle: RePEc:jae:japmet:v:20:y:2005:i:3:p:345-376
    DOI: 10.1002/jae.787
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