Information diffusion and the predictability of New Zealand stock market returns

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Title

Information diffusion and the predictability of New Zealand stock market returns

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FigShare

Description

This paper examines the impact of international predictors from liquid markets on the predictability of excess returns in the New Zealand stock market using data from May 1992 to February 2011. We find that US stock market return and VIX contribute significantly to the out-of-sample forecasts at short horizons even after controlling for the effect of local predictors, while the contribution by Australian stock market return is not significant. We further demonstrate that the predictability of...

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Other

Date created

12 May, 2022

Creator

Hai Lin / D Quill

URL

https://figshare.com/articles/journal_contribution/Information_diffusion_and_the_predictability_o...

Related subjects

Social Sciences / Business, Finance / Business & Economics / Information diffusion / International predictors / Liquidity / Out-of-sample / Stock return predictability / EQUITY PREMIUM PREDICTION / BOOK-TO-MARKET / DIVIDEND YIELDS / ECONOMIC-SIGNIFICANCE / EXPECTED RETURNS / TERM STRUCTURE / INDEX RETURNS / SAMPLE / INFLATION / RATIOS / Out‐of‐sample / Accounting / Applied Economics not elsewhere classified / Accounting, Auditing and Accountability not elsewhere classified / Banking, Finance and Investment not elsewhere classified

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