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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2012.8
- 수록면
- 215 - 247 (33page)
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This paper investigates the predictability of daily stock returns in twelve Asian countries. It pays attention to the forecasting variables rather than the forecasting models. The empirical results show that a simple model using the Dow Jones Index as a forecasting variable produces the smallest MSPE compared to the out-of-sample forecasting performance. According to the test results of Clark and West (2007), the difference of MSPE between this simple model and the random walk without drift is statistically significant at least at the 10 percent level for eight among twelve countries. In addition, the test results of Henriksson and Merton (1981) provide that this model is significantly superior in performance in directional accuracy of their forecasts for all countries.
목차
1. INTRODUCTION
2. LITERATURE REVIEWS
3. DATA
4. OUT-OF-SAMPLE FORECASTING MODELSAND TECHNIQUES
5. COMPARISON OF THE FORECAST ERROR
6. COMPARISON OF DIRECTIONAL ACCURACY
7. CONCLUSIONS
APPENDIX
REFERENCES
참고문헌 (34)
참고문헌 신청
1. [학술지(정기간행물)] - Ang, A. / 2007 / Return Predictability: Is It There? / Review of Financial Studies 20 : 651 ~ 707
2. [학술지(정기간행물)] - Bekaert, G. / 1992 / Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets / Journal of Finance 47 : 467 ~ 509
3. [학술지(정기간행물)] - Breen, W. / 1989 / Economic Significance Variations in Stock Index Returns / Journal of Finance 64 : 1177 ~ 1189
4. [학술지(정기간행물)] - Campbell, J. Y. / 1987 / Stock Returns and the Term Structure / Journal of Financial Economics 18 : 373 ~ 399
5. [학술지(정기간행물)] - Campbell, J. Y. / 1992 / Predictable Stock Returns in the United States and Japan : A Study of Long-Term Capital Market Integration / Journal of Finance 47 : 43 ~ 69
2. [학술지(정기간행물)] - Bekaert, G. / 1992 / Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets / Journal of Finance 47 : 467 ~ 509
3. [학술지(정기간행물)] - Breen, W. / 1989 / Economic Significance Variations in Stock Index Returns / Journal of Finance 64 : 1177 ~ 1189
4. [학술지(정기간행물)] - Campbell, J. Y. / 1987 / Stock Returns and the Term Structure / Journal of Financial Economics 18 : 373 ~ 399
5. [학술지(정기간행물)] - Campbell, J. Y. / 1992 / Predictable Stock Returns in the United States and Japan : A Study of Long-Term Capital Market Integration / Journal of Finance 47 : 43 ~ 69
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UCI(KEPA) : I410-ECN-0101-2013-320-003298393