We investigate the cross-sectional pattern of stock returns for eight emerging markets using Vector Autoregressive … Approach (VAR) to test whether dividend yields can predict stock returns through impulse response characteristics. Our results … confirm that dividend yield shocks play an important role in driving fluctuation in stock returns and this relation is …

effect and that a strategy based on closeness to the 52-week high has better forecasting power for future returns than do …

returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests …

This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to … the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging … right. Aggregate earnings themselves covary with the market returns, hence it is not just the mean reversion of stock prices …

Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved … returns in nine international stock exchanges for the period 1998-2008. The models are random walk, historical mean, moving … average, exponentially something, AR, and GARCH class models including ARCH, GARCH, GJR- GARCH, and EGARCH. Volatility is …

) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … options and (b) macroeconomic and financial variables that can predict the implied volatility process of the index, using … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S …

(S&P, FTSE, CAC, SMI and DAX), we separate option-implied volatility into Ross-recovered true expected volatility and a … risk preference factor. We investigate whether these factors perform better to forecast realized volatility if constructed … evidence of significantly improved realized volatility forecasts. Models using Ross-recovered value-weighted global measures of …

. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness … among APEC stock markets. The objective is to identify major transmitters of volatility spillovers and assess the magnitude … of different crisis cycles. The results show that the US is the major contributor (69.54%) to volatility spillovers in …