Nonlinearity, data-snooping, and stock index ETF return predictability

被引：56

作者：

Yang, Jian ^{[1
]}

Cabrera, Juan ^{[2
]}

Wang, Tao ^{[3
,4
]}

机构：

[1] Univ Colorado Denver, Sch Business, Denver, CO 80217 USA

[2] CUNY, Grad Ctr, Dept Econ, New York, NY 10016 USA

[3] CUNY, Queens Coll, Dept Econ, Flushing, NY 11367 USA

[4] CUNY, Grad Ctr, Flushing, NY 11367 USA

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2010年 / 200卷 / 02期

关键词：

Ishares; Random walk; Nonlinear models; Forecasting evaluation; Reality check; ARTIFICIAL NEURAL-NETWORKS; FINANCIAL RISK MANAGEMENT; MODEL-SELECTION APPROACH; TECHNICAL TRADING RULES; TIME-SERIES MODELS; MARKET-EFFICIENCY; LINEAR-MODELS; REALITY CHECK; PRICES; DYNAMICS;

D O I：

10.1016/j.ejor.2009.01.009

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper examines daily return predictability for eighteen international stock index ETFs. The out-of-sample tests are conducted, based on linear and various popular nonlinear models and both statistical and economic criteria for model comparison. The main results show evidence of predictability for six of eighteen ETFs. A simple linear autoregression model, and a nonlinear-in-variance GARCH model, but not several popular nonlinear-in-mean models help outperform the martingale model. The allowance of data-snooping bias using White's Reality Check also substantially weakens otherwise apparently strong predictability. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：498 / 507

页数：10

共 32 条

[1] Partial adjustment or stale prices? Implications from stock index and futures return autocorrelations [J].

Ahn, DH ;

Boudoukh, J ;

Richardson, M ;

Whitelaw, RF .

REVIEW OF FINANCIAL STUDIES, 2002, 15 (02) :655-689

[2]

[Anonymous], 1997, The econometrics of financial markets, DOI DOI 10.1515/9781400830213

[3] Functional-coefficient regression models for nonlinear time series [J].

Cai, ZW ;

Fan, JQ ;

Yao, QW .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2000, 95 (451) :941-956

[4] Random walk versus breaking trend in stock prices: Evidence from emerging markets [J].

Chaudhuri, K ;

Wu, YR .

JOURNAL OF BANKING & FINANCE, 2003, 27 (04) :575-592

[5] Evidence on the speed of convergence to market efficiency [J].

Chordia, T ;

Roll, R ;

Subrahmanyam, A .

JOURNAL OF FINANCIAL ECONOMICS, 2005, 76 (02) :271-292

[6] EFFICIENT CAPITAL-MARKETS .2. [J].

FAMA, EF .

JOURNAL OF FINANCE, 1991, 46 (05) :1575-1617

[7] Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules [J].

Gençay, R .

JOURNAL OF INTERNATIONAL ECONOMICS, 1999, 47 (01) :91-107

[8]

GENCAY R., 1998, J EMPIR FINANC, V5, P347, DOI DOI 10.1016/S0927-5398(97)00022-4

[9]

Gleason K.C., 2004, J EMPIR FINANC, V11, P681

[10] FORECASTING STOCK-MARKET PRICES - LESSONS FOR FORECASTERS [J].

GRANGER, CWJ .

INTERNATIONAL JOURNAL OF FORECASTING, 1992, 8 (01) :3-13

← 1 2 3 4 →