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

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 movemen...

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Main Authors: Liew, Venus Khim-Sen, Lim, Kian-Ping, Choong, Chee-Keong
Format: E-Article
Language:English
Published: - 2014
Subjects:
HB Economic Theory
Online Access:http://ir.unimas.my/id/eprint/3227/1/On%2Bthe%2Bforecastability%2Bof%2BAsean-5%2Bstock%2Bmarkets%2Breturns%2Busing%2Btime%2Bseries%2Bmodels%2B%2528abstract%2529%20%281%29.pdf
http://ir.unimas.my/id/eprint/3227/
http://econwpa.repec.org/
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spelling my.unimas.ir.32272016-04-14T00:55:22Z http://ir.unimas.my/id/eprint/3227/ On the forecastability of Asean-5 stock markets returns using time series models Liew, Venus Khim-Sen Lim, Kian-Ping Choong, Chee-Keong HB Economic Theory 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. - 2014-06-16 E-Article NonPeerReviewed text en http://ir.unimas.my/id/eprint/3227/1/On%2Bthe%2Bforecastability%2Bof%2BAsean-5%2Bstock%2Bmarkets%2Breturns%2Busing%2Btime%2Bseries%2Bmodels%2B%2528abstract%2529%20%281%29.pdf Liew, Venus Khim-Sen and Lim, Kian-Ping and Choong, Chee-Keong (2014) On the forecastability of Asean-5 stock markets returns using time series models. -. (Submitted) http://econwpa.repec.org/
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic HB Economic Theory
spellingShingle HB Economic Theory
Liew, Venus Khim-Sen
Lim, Kian-Ping
Choong, Chee-Keong
On the forecastability of Asean-5 stock markets returns using time series models
description 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.
format E-Article
author Liew, Venus Khim-Sen
Lim, Kian-Ping
Choong, Chee-Keong
author_facet Liew, Venus Khim-Sen
Lim, Kian-Ping
Choong, Chee-Keong
author_sort Liew, Venus Khim-Sen
title On the forecastability of Asean-5 stock markets returns using time series models
title_short On the forecastability of Asean-5 stock markets returns using time series models
title_full On the forecastability of Asean-5 stock markets returns using time series models
title_fullStr On the forecastability of Asean-5 stock markets returns using time series models
title_full_unstemmed On the forecastability of Asean-5 stock markets returns using time series models
title_sort on the forecastability of asean-5 stock markets returns using time series models
publisher -
publishDate 2014
url http://ir.unimas.my/id/eprint/3227/1/On%2Bthe%2Bforecastability%2Bof%2BAsean-5%2Bstock%2Bmarkets%2Breturns%2Busing%2Btime%2Bseries%2Bmodels%2B%2528abstract%2529%20%281%29.pdf
http://ir.unimas.my/id/eprint/3227/
http://econwpa.repec.org/
_version_ 1644509288594407424
score 13.18916

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