Are stock returns on the US used as an exogenous predictor to the Asian emerging equity markets

被引：4
|
作者：
Lin, Jihn-Yih [1 ]
机构：
[1] Natl Pingtung Inst Commerce, Dept Finance, Pingtung 900, Taiwan
来源：
APPLIED ECONOMICS LETTERS | 2008年 / 15卷 / 03期
关键词：
D O I：
10.1080/13504850600706289
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
By using a block recursive vector autoregression model and two new out-of-sample tests, this study has found that the US stock returns have predictive ability for the four Asian emerging equity markets. The estimates from weekly data suggest that returns on SP500 positively predict stock returns of Asian emerging markets up to three weeks.
引用
收藏
页码：235 / 237
页数：3
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