Abstract
Stock Return Predictability and Market Integration: The Role of Global and Local Information
Highlights
This paper examines stock market predictability across a range of international markets and seeks to consider the role of global and local information in terms of any predictive power
They reveal how individual stock returns respond to changes in global risk premium as well as how movements in actual returns are transmitted across markets
We examine whether these global factors have predictive power for stock returns, while incorporating local factors in the predictability model
Summary
This work reveals that information flows that affect stock market behaviour arise from both global and local sources. In contrast to much of the previous work, what defines global information is allowed to expand beyond just information from the USA. Using US-based global information misses several of the more interesting dynamics. The results reveal the importance of accounting for, and separating, both global and local information. They reveal how individual stock returns respond to changes in global risk premium (expected returns) as well as how movements in actual returns are transmitted across markets. The results have implications for market participants in terms of portfolio and risk management, policy-makers and regulators in understanding how shocks can be transmitted and academics involved in modelling market behaviour
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
