ON THE FORECASTABILITY OF ASEAN-5 STOCK MARKETS RETURNS USING TIME SERIES MODELS
Venus Liew,
Kian-Ping Lim and
Chee-Keong Choong
Finance from University Library of Munich, Germany
Abstract:
This study examines the forecastability of ASEAN-5 stock market returns using linear and non-linear time series models. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the behaviour of these returns do not follow random walk movement. Results of this study also reveal that all the estimated time series models, both linear and non-linear, have smaller out-of-sample forecast errors than the random walk model. These two findings robustly indicate that returns of ASEAN-5 stock markets do not follow random walk movement and are forecastable. Thus, this study can be taken as providing justification for the work of technical analysts.
Keywords: Random walk; Time series models; Autoregressive; Smooth Transition Autoregressive; GARCH; Forecasting; ASEAN-5 stock markets. (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Date: 2003-07-23
New Economics Papers: this item is included in nep-cfn, nep-ecm, nep-ets, nep-fin, nep-fmk, nep-rmg and nep-sea
Note: Type of Document - word
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0307/0307012.pdf (application/pdf)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0307/0307012.ps.gz (application/postscript)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0307/0307012.doc.gz (application/msword)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0307012
Access Statistics for this paper
More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().