View : 33 Download: 0

Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets

Title
Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets
Authors
Kim S.-W.Mollick A.V.Nam K.
Ewha Authors
김세완
SCOPUS Author ID
김세완scopus
Issue Date
2008
Journal Title
Global Finance Journal
ISSN
1044-0283JCR Link
Citation
vol. 19, no. 1, pp. 19 - 31
Indexed
SCOPUS scopus
Abstract
Employing annual returns generated from overlapping monthly price indexes for the G-7 stock markets, this paper examines asymmetry and common nonlinearities in long-horizon stock returns. Identifying widespread nonlinearities based on LSTAR or ESTAR models, we find that the asymmetric nonlinear dynamics induces a substantial portion of predictable variations in long-horizon stock returns. The nonlinear models clearly outperform linear models "in sample" and in most of the out of sample forecasting exercises. With nonlinear impulse responses suggesting strong stability of return dynamics, the empirical results of this paper provide useful information in developing annual investment strategies for international stock markets. © 2008 Elsevier Inc. All rights reserved.
DOI
10.1016/j.gfj.2007.09.002
Appears in Collections:
사회과학대학 > 경제학전공 > Journal papers
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE