S-Space College of Business Administration/Business School (경영대학/대학원) Dept. of Business Administration (경영학과) Theses (Master's Degree_경영학과)
Stock Return Predictability: Evidence from ASEAN Market Indices
- Prof. Lee Kuan Hui
- 경영대학 경영학과
- Issue Date
- 서울대학교 대학원
- stock return predictability; ASEAN Indices; Pairwise Granger causality; Lead-lag Relationship; News-Diffusion Model; Information Frictions
- 학위논문 (석사)-- 서울대학교 대학원 : 경영학과, 2015. 2. Lee Kuan Hui.
- I investigate stock return predictability on ASEAN market indices using lagged return of industrialized countries. The data contains weekly return from six market indices in ASEAN along with twelve industrialized countries indices. Using pairwise Granger causality test, I find that lagged returns of Canada, Germany, United Kingdom, and United States are positive and significant in predicting index returns of six ASEAN countries even after controlling for countrys macroeconomic variables as well as their own lagged return. Meanwhile, lagged ASEAN returns do not have predictive ability to industrialized countries returns. By using news-diffusion model to examine the source of their predictive power, I find that the results indicating the predictive ability of those four countries are consistent with the existence of information frictions across national equity markets.