Predictability of stock market returns and bears: evidence from Asia

dc.contributor.author	Jalil Malik, Zubash
dc.date.accessioned	2021-10-31T15:44:01Z
dc.date.available	2021-10-31T15:44:01Z
dc.date.issued	2018
dc.identifier.uri	http://10.250.8.41:8080/xmlui/handle/123456789/26656
dc.description	Dr. Muhammad Zubair Mumtaz	en_US
dc.description.abstract	This study performs the predictability tests for some selected Asian stock markets using monthly data from the period January 1990 – August 2017. Asian stock market returns as well as bears are predicted by using the U.S. stock market returns and bears. By employing a two-state Markov Switching model, the bull and bear regimes are distinguished, for both the USA and Asian stock markets. The predictability analysis indicates that the USA returns as well as the USA bears are important predictors of the Asian returns and Asian bears. The forecasting exercise reinforces the predictability analysis, showing that the predictive model can forecast into the future quite well for most of the Asian countries	en_US
dc.language.iso	en_US	en_US
dc.publisher	S3H-NUST	en_US
dc.subject	Asian stock markets, USA stock market, bear market, two-state Markov switching model, predictive models, forecasting	en_US
dc.title	Predictability of stock market returns and bears: evidence from Asia	en_US
dc.type	Thesis	en_US