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On The Forecastability Of Asean-5 Stock Markets Returns Using Time Series Models

Author

Listed:
  • Khim-Sen Liew

    (Universiti Putra Malaysia)

  • Kian-Ping Lim

    (Universiti Malaysia Sabah)

  • Chee-Keong Choong

    (Universiti Tunku Abdul Rahman)

Abstract

This study examines the forecastability of ASEAN-5 stock market returns using linear and non-linear time series models. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the behaviour of these returns do not follow random walk movement. Results of this study also reveal that all the estimated time series models, both linear and non-linear, have smaller out-of-sample forecast errors than the random walk model. These two findings robustly indicate that returns of ASEAN-5 stock markets do not follow random walk movement and are forecastable. Thus, this study can be taken as providing justification for the work of technical analysts.

Suggested Citation

  • Khim-Sen Liew & Kian-Ping Lim & Chee-Keong Choong, 2003. "On The Forecastability Of Asean-5 Stock Markets Returns Using Time Series Models," Finance 0307012, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0307012
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    References listed on IDEAS

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    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
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    10. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
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    More about this item

    Keywords

    Random walk; Time series models; Autoregressive; Smooth Transition Autoregressive; GARCH; Forecasting; ASEAN-5 stock markets.;

    JEL classification:

    • G - Financial Economics

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