Short-Horizon Return Predictability in International Equity Markets

16 Pages Posted: 12 Apr 2010

See all articles by Abul Shamsuddin

Abul Shamsuddin

University of Newcastle (Australia) - Newcastle Business School

Jae H. Kim

La Trobe University - School of Economics and Finance

Abstract

This study measures the degree of short-horizon return predictability of 50 international equity markets and examines how its variation is related to the indicators of equity market development. Two multiple-horizon variance ratio tests are employed to measure the degree of return predictability. We find evidence that return predictability is negatively correlated with publicly available indicators of equity market development. Our cross-sectional regression analysis shows that the per capita gross domestic product, market turnover, investor protection, and absence of short-selling restrictions are correlated with cross-market variations in return predictability.

Suggested Citation

Shamsuddin, Abul and Kim, Jae H., Short-Horizon Return Predictability in International Equity Markets. Financial Review, Vol. 45, No. 2, pp. 469-484, May 2010, Available at SSRN: https://ssrn.com/abstract=1587113 or http://dx.doi.org/10.1111/j.1540-6288.2010.00256.x

Abul Shamsuddin (Contact Author)

University of Newcastle (Australia) - Newcastle Business School ( email )

City Campus East – 231
Callaghan, NSW 2308
Australia

Jae H. Kim

La Trobe University - School of Economics and Finance ( email )

Department of Finance
La Trobe Business School
Bundoora, IN 3086
Australia

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
3
Abstract Views
437
PlumX Metrics