Return-forecasting Signals in Australia, Brazil and United States Equity Markets

Abstract

This paper offers an in-depth analysis of the role various signals play in equity indices within Australia, Brazil, and the United States. Utilizing statistical methods, particularly single-variate regression analysis, I examine the relationship between the monthly return rates of these indices alongside various signals. A noteworthy finding of my research is that certain trading signals exhibit statistical significance within the context of individual nations, yet this significance does not translate across borders. This difference could be attributed to distinct economic factors inherent to each country, such as varying inflation rates and market microstructures. This study sheds light on multiple financial literatures by offering a comparative cross-sectional perspective on equity markets, and it laid the foundation for more nuanced financial research in the future. Despite the significant insights gained from this study, it also acknowledges the potential for further enhancement of the dataset, emphasizing the quest for a deeper understanding of these complicated relationships.