Venus, Khim-Sen Liew and Lim, Kian−Ping and Choong, Chee-Keong (2003) On the forecastability of Asean-5 stock markets returns using time series models. [Working Paper]
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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.
| Item Type: | Working Paper |
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| Uncontrolled Keywords: | Random walk, Times series models, Autoregressive, Smooth Transition Autoregressive, GARCH, Forecasting, ASEAN-5 stock markets, 2013, Universiti Malaysia Sarawak, UNIMAS, universiti, university, Borneo, Malaysia, Sarawak, Kuching, Samarahan, IPTA, education, undergraduate, research |
| Subjects: | H Social Sciences > HF Commerce H Social Sciences > HG Finance |
| Divisions: | Academic Faculties, Institutes and Centres > Faculty of Economics and Business Faculties, Institutes, Centres > Faculty of Economics and Business |
| Depositing User: | Karen Kornalius |
| Date Deposited: | 05 Dec 2013 03:20 |
| Last Modified: | 11 Aug 2021 11:05 |
| URI: | http://ir.unimas.my/id/eprint/224 |
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