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Are Asian Stock Market Returns Predictable?

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  • Seema Narayan

Abstract

We conduct predictability tests for selected Asian stock markets using monthly data from the period March 2001–April 2012. Asian market bears and returns are predicted using the U.S. stock market bears and returns. A two-state Markov-switching model is employed to distinguish between the bull and bear regimes in the U.S. and Asian stock markets. The in-sample predictability analysis suggests that the U.S. market returns and bears are important predictors of Asian market returns and some Asian bears. The out-of-sample predictability exercise is not able to reinforce the in-sample results, which is in large part due to the small forecasting sample size.

Suggested Citation

  • Seema Narayan, 2015. "Are Asian Stock Market Returns Predictable?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(5), pages 867-878, September.
    • Handle: RePEc:mes:emfitr:v:51:y:2015:i:5:p:867-878
    DOI: 10.1080/1540496X.2015.1061379
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    Cited by:

    1. Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
    2. Yanying Zhang & Yiuman Tse & Gaiyan Zhang, 2022. "Return predictability between industries and the stock market in China," Pacific Economic Review, Wiley Blackwell, vol. 27(2), pages 194-220, May.
    3. Narayan, Seema & Doytch, Nadia & Nguyen, Tri Tung & Kluegel, Karl, 2016. "Trade of goods and services and risk sharing ability in international equity markets: Are these substitutes or complements?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 485-503.
    4. Narayan, Seema & Ur Rehman, Mobeen, 2017. "Diversification opportunities between emerging and frontier Asian (EFA) and developed stock markets," Finance Research Letters, Elsevier, vol. 23(C), pages 223-232.
    5. Seema Narayan, 2019. "The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks," JRFM, MDPI, vol. 12(4), pages 1-26, October.
    6. Qureshi, Fiza & Kutan, Ali M. & Ismail, Izlin & Gee, Chan Sok, 2017. "Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 176-192.

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