On the forecastability of Asean-5 stock markets returns using time series models

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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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
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
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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