The Predictability of Non-Overlapping Forecasts: Evidence from a New Market

32 Pages Posted: 25 Jun 2015

See all articles by Manolis G. Kavussanos

Manolis G. Kavussanos

Athens University of Economics and Business - Department of Accounting and Finance

Ilias Visvikis

Department of Finance, School of Business Administration, American University of Sharjah

Date Written: June 25, 2015

Abstract

This paper investigates the short-run forecasting performance, in the relatively new and fairly unresearched futures market of Greece. Forecasts from univariate (ARIMA) and multivariate (VAR, VECM and SURE-VECM) linear time-series models indicate that cash returns can be more accurately forecasted, for all forecast horizons, when forecast specifications contain information from both lagged cash and futures returns, than from specifications that utilize information only from lagged cash returns. On the other hand, futures return forecasts are not enhanced in accuracy when lagged cash returns are employed for almost all forecasts. This verifies that at almost all forecasting horizons futures returns contain significantly more and different information than that embodied in current cash returns. Moreover, all time-series models generate more accurate cash and futures forecasts than the forecasts obtained by the random walk model.

Keywords: Cointegration; VECM and ARIMA Models; Forecasting; Futures Markets; Emerging Markets; Predictability

JEL Classification: G13, G14, G15

Suggested Citation

Kavussanos, Manolis G. and Visvikis, Ilias, The Predictability of Non-Overlapping Forecasts: Evidence from a New Market (June 25, 2015). Multinational Finance Journal, Vol. 15, No. 1/2, p. 125-156, 2011. Available at SSRN: https://ssrn.com/abstract=2622936

Manolis G. Kavussanos (Contact Author)

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission St
TK 104 34 Athens
Greece
0030 210 8203167 (Phone)
0030 210 8228816 (Fax)

Ilias Visvikis

Department of Finance, School of Business Administration, American University of Sharjah ( email )

P.O. Box 26666
Sharjah
United Arab Emirates
+97165154717 (Phone)

HOME PAGE: http://https://www.aus.edu/faculty/dr-ilias-visvikis

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