Lim, Kian Ping and Luo, Wei wei and Kim, Jae H. (2011) Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests. Applied Economics, 45 (8). pp. 953-962. ISSN 0003-6846
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Abstract
This article re-examines the evidence of return predictability for three major US stock indices using two recently developed data-driven tests, namely the automatic portmanteau Box-Pierce test and the wild bootstrapped automatic variance ratio test. In tracking the time variation of return predictability via rolling estimation window, we find that those periods with significant return autocorrelations can largely be associated with major exogenous events. Theoretically, the documented time varying nature of predictable patterns is consistent with the adaptive markets hypothesis.
| Item Type: | Article |
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| Keyword: | Adaptive markets hypothesis, Autocorrelation test, Evolving return predictability, US stock market, Variance ratio test |
| Subjects: | H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges |
| Department: | SCHOOL > Labuan School of International Business and Finance |
| Depositing User: | ADMIN ADMIN |
| Date Deposited: | 29 Mar 2012 17:47 |
| Last Modified: | 17 Oct 2017 11:46 |
| URI: | https://eprints.ums.edu.my/id/eprint/3865 |
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