Abstract
This study performs the predictability tests for eleven Asian stock markets using monthly data during the period lasting
from January 1990 to December 2017. Asian stock market returns, as well as returns in the bear regime, are predicted
by using the US stock market returns and bears. We employ the two-state Markov-Switching model to distinguish
between the bull and bear regimes for both the USA and Asian stock markets. The predictive models are employed
using the OLS and FGLS estimators. The results of predictability analysis show that the USA returns as well as the
USA bears are important predictors of the Asian returns and bears. The forecasting exercise reinforces the
predictability analysis, which shows that the predictive model can forecast the future quite well for most of the Asian
countries. Effective policymaking and implementation are required to consider the characteristics of the market for the
best use of the country so that investors can maximize their earnings.
Zubash Jalil Malik, Muhammad Zubair Mumtaz. (2019) Predictability of Asian Stock Market Returns using Markov-Switching Model , Paradigms , Vol 13, Issue 1.
-
Views
1404 -
Downloads
136
