Time-varying return predictability in South Asian equity markets

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• 作者：Md. Lutfur Rahman ; Doowon Lee ^{Doowon.Lee@newcastle.edu.au} ; Abul Shamsuddin
• 关键词：F30 ; G14 ; G15
• 刊名：International Review of Economics & Finance
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：48
• 期：Complete
• 页码：179-200
• 全文大小：797 K
• 卷排序：48

文摘

Time-varying return predictability in four South Asian stock markets is examined using the wild-bootstrapped automatic variance ratio test and price delay measures. Strong evidence of predictability is found in aggregate market and size-sorted portfolio returns. The cross-sectional variation in return predictability is inversely related to firm size and trading frequency, while the time variation in return predictability is related to market conditions—the level of equity market development, liquidity, volatility, automation of trading mechanism and financial crises. These results strongly corroborate Lo's (2004) adaptive market hypothesis, and are robust to controlling for thin trading, changes in data frequency, and use of alternative return predictability measures.